QPR-11641 fix

Author: pcaspers

OREAnalytics/orea/cube/sensitivitycube.cpp

@@ -104,13 +104,15 @@ void SensitivityCube::initialise() {
                                                               << des.key1() << "]");
             factors_.insert(des.key1());
             upFactors_[des.key1()] = fd;
+            upIndexToKey_[fd.index] = des.key1();
             upDownIndexToKey_[fd.index] = des.key1();
             break;
         case ShiftScenarioDescription::Type::Down:
             QL_REQUIRE(downFactors_.count(des.key1()) == 0, "Cannot have multiple down factors with "
                                                             "the same risk factor key ["
                                                                 << des.key1() << "]");
             downFactors_[des.key1()] = fd;
+            downIndexToKey_[fd.index] = des.key1();
             upDownIndexToKey_[fd.index] = des.key1();
             break;
         case ShiftScenarioDescription::Type::Cross:
@@ -153,6 +155,22 @@ void SensitivityCube::initialise() {
 
 bool SensitivityCube::hasTrade(const string& tradeId) const { return tradeIdx_.count(tradeId) > 0; }
 
+RiskFactorKey SensitivityCube::upFactor(const Size upDownIndex) const {
+    if (auto k = upIndexToKey_.find(upDownIndex); k != upIndexToKey_.end()) {
+        return k->second;
+    } else {
+        return RiskFactorKey();
+    }
+}
+
+RiskFactorKey SensitivityCube::downFactor(const Size upDownIndex) const {
+    if (auto k = downIndexToKey_.find(upDownIndex); k != downIndexToKey_.end()) {
+        return k->second;
+    } else {
+        return RiskFactorKey();
+    }
+}
+
 RiskFactorKey SensitivityCube::upDownFactor(const Size upDownIndex) const {
     if (auto k = upDownIndexToKey_.find(upDownIndex); k != upDownIndexToKey_.end()) {
         return k->second;

OREAnalytics/orea/cube/sensitivitycube.hpp

@@ -76,6 +76,14 @@ class SensitivityCube {
     //! Return the map of up trade id's to index in cube
     const std::map<std::string, QuantLib::Size>& tradeIdx() const { return cube_->idsAndIndexes(); };
 
+    /*! Return factor for given up/down scenario index or None if given index
+      is not an up/down scenario (to be reviewed) */
+    RiskFactorKey upFactor(const Size upDownIndex) const;
+
+    /*! Return factor for given up/down scenario index or None if given index
+      is not an up/down scenario (to be reviewed) */
+    RiskFactorKey downFactor(const Size upDownIndex) const;
+
     /*! Return factor for given up/down scenario index or None if given index
       is not an up/down scenario (to be reviewed) */
     RiskFactorKey upDownFactor(const Size upDownIndex) const;
@@ -173,10 +181,10 @@ class SensitivityCube {
     // Set of risk factor key types where we want a two-sided delta calculation.
     std::set<RiskFactorKey::KeyType> twoSidedDeltas_;
 
-    // map of up / down factor index to risk factor key
+    // map of up / down / up-or-down / cross factor index to risk factor key
+    std::map<QuantLib::Size, RiskFactorKey> upIndexToKey_;
+    std::map<QuantLib::Size, RiskFactorKey> downIndexToKey_;
     std::map<QuantLib::Size, RiskFactorKey> upDownIndexToKey_;
-
-    // map of cross factor index to risk factor pair
     std::map<QuantLib::Size, crossPair> crossIndexToKey_;
 
 };

OREAnalytics/orea/engine/zerotoparcube.cpp

@@ -58,7 +58,7 @@ map<RiskFactorKey, Real> ZeroToParCube::parDeltas(QuantLib::Size tradeIdx) const
     const boost::shared_ptr<NPVSensiCube>& sensiCube = zeroCube_->npvCube();
 
     for (auto const& kv : sensiCube->getTradeNPVs(tradeIdx)) {
-        auto factor = zeroCube_->upDownFactor(kv.first);
+        auto factor = zeroCube_->upFactor(kv.first);
         // index might not belong to an up/down scenario
         if (factor.keytype != RiskFactorKey::KeyType::None) {
             auto it = factorToIndex_.find(factor);