QPR-11641 cleanup

Author: pcaspers

OREAnalytics/orea/cube/sensitivitycube.cpp

@@ -105,15 +105,13 @@ void SensitivityCube::initialise() {
             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:
             factorPair = make_pair(des.key1(), des.key2());
@@ -155,24 +153,16 @@ 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()) {
+RiskFactorKey SensitivityCube::upFactor(const Size upIndex) const {
+    if (auto k = upIndexToKey_.find(upIndex); 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()) {
+RiskFactorKey SensitivityCube::downFactor(const Size downIndex) const {
+    if (auto k = downIndexToKey_.find(downIndex); k != downIndexToKey_.end()) {
         return k->second;
     } else {
         return RiskFactorKey();

OREAnalytics/orea/cube/sensitivitycube.hpp

@@ -76,20 +76,13 @@ 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 scenario index or None if given index is not an up scenario (to be reviewed) */
+    RiskFactorKey upFactor(const Size upIndex) 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 down scenario index or None if given index is not an down scenario (to be reviewed) */
+    RiskFactorKey downFactor(const Size downIndex) 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;
-
-    /*! Return factor for given cross scenario index or None if given index
-      is not a cross scenario (to be reviewed) */
+    /*! Return factor for given cross scenario index or None if given index is not a cross scenario (to be reviewed) */
     crossPair crossFactor(const Size crossIndex) const;
 
     //! Check if the cube has scenario NPVs for scenario with description \p scenarioDescription
@@ -181,10 +174,9 @@ 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 / up-or-down / cross factor index to risk factor key
+    // map of up / 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_;
     std::map<QuantLib::Size, crossPair> crossIndexToKey_;
 
 };

OREAnalytics/orea/engine/sensitivitycubestream.cpp

@@ -98,7 +98,9 @@ void SensitivityCubeStream::updateForNewTrade() {
         // add delta keys
 
         for (auto const& [idx, _] : cube_->npvCube()->getTradeNPVs(tradeIdx_->second)) {
-            if (auto k = cube_->upDownFactor(idx); k.keytype != RiskFactorKey::KeyType::None)
+            if (auto k = cube_->upFactor(idx); k.keytype != RiskFactorKey::KeyType::None)
+                currentDeltaKeys_.insert(k);
+            else if (auto k = cube_->downFactor(idx); k.keytype != RiskFactorKey::KeyType::None)
                 currentDeltaKeys_.insert(k);
         }