QPR-13719 add overlay npv cube

Author: pcaspers

OREAnalytics/orea/CMakeLists.txt

@@ -71,6 +71,7 @@ cube/inmemorycubeopt.cpp
 cube/jaggedcube.cpp
 cube/jointnpvcube.cpp
 cube/jointnpvsensicube.cpp
+cube/overlaynpvcube.cpp
 cube/sensicube.cpp
 cube/sensitivitycube.cpp
 cube/sparsenpvcube.cpp
@@ -292,6 +293,7 @@ cube/jointnpvcube.hpp
 cube/jointnpvsensicube.hpp
 cube/npvcube.hpp
 cube/npvsensicube.hpp
+cube/overlaynpvcube.hpp
 cube/sensicube.hpp
 cube/sensitivitycube.hpp
 cube/sparsenpvcube.hpp

OREAnalytics/orea/cube/overlaynpvcube.cpp

@@ -0,0 +1,78 @@
+/*
+ Copyright (C) 2026 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of ORE, a free-software/open-source library
+ for transparent pricing and risk analysis - http://opensourcerisk.org
+
+ ORE is free software: you can redistribute it and/or modify it
+ under the terms of the Modified BSD License.  You should have received a
+ copy of the license along with this program.
+ The license is also available online at <http://opensourcerisk.org>
+
+ This program is distributed on the basis that it will form a useful
+ contribution to risk analytics and model standardisation, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+ FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
+*/
+
+/*! \file orea/cube/overlaynpvcube.hpp
+    \brief npv cube corrected by difference pricing t0 npv and sim t0 npv
+    \ingroup cube
+*/
+
+#include <orea/cube/overlaynpvcube.hpp>
+
+namespace ore {
+namespace analytics {
+
+OverlayNPVCube::OverlayNPVCube(const QuantLib::ext::shared_ptr<NPVCube>& cube,
+                               const std::map<std::string, double>& pricingNpvs)
+    : cube_(cube) {
+    pricingNpvs_.resize(cube_->numIds());
+    for (auto const& [id, index] : cube_->idsAndIndexes()) {
+        QL_REQUIRE(index < pricingNpvs_.size(), "OverlayNPVCube(): numIds (" << cube_->numIds()
+                                                                             << ") does not cover index (" << index
+                                                                             << ") for id " << id);
+        if (auto p = pricingNpvs.find(id); p != pricingNpvs.end())
+            pricingNpvs_[index] = p->second;
+        else {
+            QL_FAIL("OverlayNPVCube(): no pricingNpv given for id " << id);
+        }
+    }
+}
+
+Size OverlayNPVCube::numIds() const { return cube_->numIds(); }
+
+Size OverlayNPVCube::numDates() const { return cube_->numDates(); }
+
+Size OverlayNPVCube::samples() const { return cube_->samples(); }
+
+Size OverlayNPVCube::depth() const { return cube_->depth(); }
+
+const std::map<std::string, Size>& OverlayNPVCube::idsAndIndexes() const { return cube_->idsAndIndexes(); }
+
+const std::vector<QuantLib::Date>& OverlayNPVCube::dates() const { return cube_->dates(); }
+
+QuantLib::Date OverlayNPVCube::asof() const { return cube_->asof(); }
+
+Real OverlayNPVCube::getT0(Size id, Size depth) const { return cube_->getT0(id, depth) + correction(id, depth); }
+
+void OverlayNPVCube::setT0(Real value, Size id, Size depth) { cube_->setT0(value - correction(id, depth), id, depth); }
+
+Real OverlayNPVCube::get(Size id, Size date, Size sample, Size depth) const {
+    return cube_->get(id, date, sample, depth) + correction(id, depth);
+}
+
+void OverlayNPVCube::set(Real value, Size id, Size date, Size sample, Size depth) {
+    cube_->set(value - correction(id, depth), id, date, sample, depth);
+}
+
+bool OverlayNPVCube::usesDoublePrecision() const { return cube_->usesDoublePrecision(); }
+
+double OverlayNPVCube::correction(Size id, Size depth) const {
+    return depth == 0 ? pricingNpvs_[id] - cube_->getT0(id, depth) : 0.0;
+}
+
+} // namespace analytics
+} // namespace ore

OREAnalytics/orea/cube/overlaynpvcube.hpp

@@ -0,0 +1,55 @@
+/*
+ Copyright (C) 2026 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of ORE, a free-software/open-source library
+ for transparent pricing and risk analysis - http://opensourcerisk.org
+
+ ORE is free software: you can redistribute it and/or modify it
+ under the terms of the Modified BSD License.  You should have received a
+ copy of the license along with this program.
+ The license is also available online at <http://opensourcerisk.org>
+
+ This program is distributed on the basis that it will form a useful
+ contribution to risk analytics and model standardisation, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+ FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
+*/
+
+/*! \file orea/cube/overlaynpvcube.hpp
+    \brief npv cube corrected by difference pricing t0 npv and sim t0 npv
+    \ingroup cube
+*/
+
+#pragma once
+
+#include <orea/cube/npvcube.hpp>
+
+namespace ore {
+namespace analytics {
+
+class OverlayNPVCube : public NPVCube {
+public:
+    OverlayNPVCube(const QuantLib::ext::shared_ptr<NPVCube>& cube, const std::map<std::string, double>& pricingNpvs);
+    Size numIds() const override;
+    Size numDates() const override;
+    Size samples() const override;
+    Size depth() const override;
+    const std::map<std::string, Size>& idsAndIndexes() const override;
+    const std::vector<QuantLib::Date>& dates() const override;
+    QuantLib::Date asof() const override;
+    Real getT0(Size id, Size depth = 0) const override;
+    void setT0(Real value, Size id, Size depth = 0) override;
+    Real get(Size id, Size date, Size sample, Size depth = 0) const override;
+    void set(Real value, Size id, Size date, Size sample, Size depth = 0) override;
+    bool usesDoublePrecision() const override;
+
+private:
+    double correction(Size id, Size depth) const;
+
+    QuantLib::ext::shared_ptr<NPVCube> cube_;
+    std::vector<double> pricingNpvs_;
+};
+
+} // namespace analytics
+} // namespace ore