QPR-11831 Add a sensitivity buffer stream

Author: damienbarker

OREAnalytics/orea/app/inputparameters.cpp

@@ -312,6 +312,10 @@ void InputParameters::setSensitivityStreamFromFile(const std::string& fileName)
     sensitivityStream_ = boost::make_shared<SensitivityFileStream>(fileName);
 }
 
+void InputParameters::setSensitivityStreamFromBuffer(const std::string& buffer) {
+    sensitivityStream_ = boost::make_shared<SensitivityBufferStream>(buffer);
+}
+
 void InputParameters::setAmcTradeTypes(const std::string& s) {
     // parse to set<string>
     auto v = parseListOfValues(s);

OREAnalytics/orea/app/inputparameters.hpp

@@ -152,6 +152,7 @@ class InputParameters {
     void setCovarianceDataFromFile(const std::string& fileName);
     void setCovarianceDataFromBuffer(const std::string& xml);
     void setSensitivityStreamFromFile(const std::string& fileName);
+    void setSensitivityStreamFromBuffer(const std::string& buffer);
 
     // Setters for exposure simulation
     void setSalvageCorrelationMatrix(bool b) { salvageCorrelationMatrix_ = b; }

OREAnalytics/orea/app/reportwriter.cpp

@@ -1737,7 +1737,7 @@ void ReportWriter::writeCrifReport(const boost::shared_ptr<Report>& report, cons
         if (!hasScheduleTrades) {
             try {
                 hasScheduleTrades = parseIMModel(cr.imModel) == SimmConfiguration::IMModel::Schedule;
-            } catch (std::exception& e) {
+            } catch (std::exception&) {
             }
         }
     }

OREAnalytics/orea/engine/sensitivityfilestream.cpp

@@ -34,30 +34,14 @@ using std::vector;
 namespace ore {
 namespace analytics {
 
-SensitivityFileStream::SensitivityFileStream(const string& fileName, char delim, const string& comment)
-    : delim_(delim), comment_(comment), lineNo_(0) {
-
-    // Open the file
-    file_.open(fileName);
-    QL_REQUIRE(file_.is_open(), "error opening file " << fileName);
-    LOG("The file " << fileName << " has been opened for streaming");
-}
-
-SensitivityFileStream::~SensitivityFileStream() {
-    // Close the file if still open
-    if (file_.is_open()) {
-        file_.close();
-    }
-    LOG("The file stream has been closed");
+void SensitivityInputStream::setStream(std::istream* stream) { 
+    stream_ = stream; 
 }
 
-SensitivityRecord SensitivityFileStream::next() {
-    // Just in case
-    QL_REQUIRE(file_.is_open(), "The file stream is not open.");
-
+SensitivityRecord SensitivityInputStream::next() {
     // Get the next valid SensitivityRecord
     string line;
-    while (getline(file_, line)) {
+    while (getline(*stream_, line)) {
         // Update the current line number
         ++lineNo_;
 
@@ -80,14 +64,14 @@ SensitivityRecord SensitivityFileStream::next() {
     return SensitivityRecord();
 }
 
-void SensitivityFileStream::reset() {
+void SensitivityInputStream::reset() {
     // Reset to beginning of file and line number
-    file_.clear();
-    file_.seekg(0, std::ios::beg);
+    stream_->clear();
+    stream_->seekg(0, std::ios::beg);
     lineNo_ = 0;
 }
 
-SensitivityRecord SensitivityFileStream::processRecord(const vector<string>& entries) const {
+SensitivityRecord SensitivityInputStream::processRecord(const vector<string>& entries) const {
 
     QL_REQUIRE(entries.size() == 10, "On line number " << lineNo_ << ": A sensitivity record needs 10 entries");
 
@@ -113,5 +97,31 @@ SensitivityRecord SensitivityFileStream::processRecord(const vector<string>& ent
     return sr;
 }
 
+SensitivityFileStream::SensitivityFileStream(const string& fileName, char delim, const string& comment)
+    : SensitivityInputStream(delim, comment) {
+
+    // set file name
+    file_ = new std::ifstream(fileName);
+    QL_REQUIRE(file_->is_open(), "error opening file " << fileName);
+    LOG("The file " << fileName << " has been opened for streaming");
+
+    // pass stream to function set stream
+    setStream(file_);
+}
+
+SensitivityFileStream::~SensitivityFileStream() {
+    // Close the file if still open
+    if (file_->is_open()) {
+        file_->close();
+    }
+    LOG("The file stream has been closed");
+}
+
+SensitivityBufferStream::SensitivityBufferStream(const std::string& buffer, char delim, const std::string& comment)
+    : SensitivityInputStream(delim, comment) {
+    std::stringstream* stream = new std::stringstream(buffer);
+    setStream(stream);
+}
+
 } // namespace analytics
 } // namespace ore

OREAnalytics/orea/engine/sensitivityfilestream.hpp

@@ -31,20 +31,23 @@ namespace ore {
 namespace analytics {
 
 //! Class for streaming SensitivityRecords from csv file
-class SensitivityFileStream : public SensitivityStream {
+class SensitivityInputStream : public SensitivityStream {
 public:
-    //! Constructor providing path to csv file \p fileName
-    SensitivityFileStream(const std::string& fileName, char delim = ',', const std::string& comment = "#");
-    //! Destructor
-    ~SensitivityFileStream() override;
+    //! Constructor
+    SensitivityInputStream(char delim = ',', const std::string& comment = "#") 
+        : delim_(delim), comment_(comment), lineNo_(0) {}
+    virtual ~SensitivityInputStream() {} // Declare virtual destructor
+        
+    /*! Set stream for function */
+    void setStream(std::istream* stream);
     //! Returns the next SensitivityRecord in the stream
     SensitivityRecord next() override;
     //! Resets the stream so that SensitivityRecord objects can be streamed again
     void reset() override;
 
 private:
-    //! Handle on the csv file
-    std::ifstream file_;
+    //! Handle on the stram
+    std::istream* stream_;
     //! Csv file delimiter
     char delim_;
     //! Csv file comment string
@@ -56,5 +59,22 @@ class SensitivityFileStream : public SensitivityStream {
     SensitivityRecord processRecord(const std::vector<std::string>& entries) const;
 };
 
+class SensitivityFileStream : public SensitivityInputStream {
+public:
+    //! Constructor providing path to csv file \p fileName
+    SensitivityFileStream(const std::string& fileName, char delim = ',', const std::string& comment = "#");
+
+    ~SensitivityFileStream() override;
+    
+private:
+    std::ifstream* file_;
+};
+
+class SensitivityBufferStream : public SensitivityInputStream {
+public:
+    //! Constructor providing path to csv file \p fileName
+    SensitivityBufferStream(const std::string& buffer, char delim = ',', const std::string& comment = "#");
+};
+
 } // namespace analytics
 } // namespace ore