QPR-12575 fix map::at error if only up (or down) factors are set

Author: pcaspers

OREAnalytics/orea/cube/sensitivitycube.cpp

@@ -156,6 +156,16 @@ RiskFactorKey SensitivityCube::upDownFactor(const Size index) const {
     }
 }
 
+SensitivityCube::FactorData SensitivityCube::upThenDownFactorData(const RiskFactorKey& rfkey) {
+    if (auto f = upFactors_.find(rfkey); f != upFactors_.end())
+        return f->second;
+    else if (auto f = downFactors_.find(rfkey); f != downFactors_.end())
+        return f->second;
+    else {
+        QL_FAIL("SensitivityCube::upThenDownFactorData(): no up or down factor data found for " << rfkey);
+    }
+}
+
 SensitivityCube::crossPair SensitivityCube::crossFactor(const Size crossIndex) const {
     if (auto k = crossIndexToKey_.find(crossIndex); k != crossIndexToKey_.end()) {
         return k->second;

OREAnalytics/orea/cube/sensitivitycube.hpp

@@ -101,6 +101,9 @@ class SensitivityCube {
     //! Return the map of down risk factors to its factor data
     const std::map<RiskFactorKey, SensitivityCube::FactorData>& downFactors() const { return downFactors_; };
 
+    //! Return the factor data for an up shift of a rf key, if that does not exist for a down shift of the same rf key
+    SensitivityCube::FactorData upThenDownFactorData(const RiskFactorKey& rfkey);
+
     //! Returns the set of pairs of risk factor keys for which a cross gamma is available
     const std::map<crossPair, std::tuple<SensitivityCube::FactorData, SensitivityCube::FactorData, QuantLib::Size>>&
     crossFactors() const;

OREAnalytics/orea/engine/sensitivitycubestream.cpp

@@ -84,7 +84,7 @@ SensitivityRecord SensitivityCubeStream::next() {
     sr.baseNpv = cubes_[currentCubeIdx_]->npv(tradeIdx);
 
     if (currentDeltaKey_ != currentDeltaKeys_.end()) {
-        auto fd = cubes_[currentCubeIdx_]->upFactors().at(*currentDeltaKey_);
+        auto const& fd = cubes_[currentCubeIdx_]->upThenDownFactorData(*currentDeltaKey_);
         sr.key_1 = *currentDeltaKey_;
         sr.desc_1 = fd.factorDesc;
         sr.shift_1 = fd.targetShiftSize;
@@ -95,7 +95,7 @@ SensitivityRecord SensitivityCubeStream::next() {
             sr.gamma = Null<Real>();
         ++currentDeltaKey_;
     } else if (currentCrossGammaKey_ != currentCrossGammaKeys_.end()) {
-        auto fd = cubes_[currentCubeIdx_]->crossFactors().at(*currentCrossGammaKey_);
+        auto const& fd = cubes_[currentCubeIdx_]->crossFactors().at(*currentCrossGammaKey_);
         sr.key_1 = currentCrossGammaKey_->first;
         sr.desc_1 = std::get<0>(fd).factorDesc;
         sr.shift_1 = std::get<0>(fd).targetShiftSize;