//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01RatesCalibratedSum(ResolvedCmsTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData)
{
IborIndex index = cmsLegIborIndex(trade);
return(MultiCurrencyScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesCalibratedSum(trade, ratesMarketData.scenario(i).ratesProvider(), swaptionMarketData.scenario(i).volatilities(index))));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesScenarioMarketData ratesMarketData, SwaptionScenarioMarketData swaptionMarketData)
{
IborIndex index = cmsLegIborIndex(trade);
return(ScenarioArray.of(ratesMarketData.ScenarioCount, i => pv01RatesMarketQuoteBucketed(trade, ratesMarketData.scenario(i).ratesProvider(), swaptionMarketData.scenario(i).volatilities(index))));
}
