// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01CalibratedSum(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
BlackBondFutureVolatilities normalVols = checkBlackVols(volatilities);
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivityRates(trade, discountingProvider, normalVols);
return(discountingProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT));
}
// unit price for one scenario
internal double unitPrice(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
// mark to model
BlackBondFutureVolatilities normalVols = checkBlackVols(volatilities);
return(tradePricer.price(trade, discountingProvider, normalVols));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedBondFutureOptionTrade trade, LegalEntityDiscountingProvider discountingProvider, BondFutureVolatilities volatilities)
{
// mark to model
double settlementPrice = this.settlementPrice(trade, discountingProvider);
BlackBondFutureVolatilities normalVols = checkBlackVols(volatilities);
return(tradePricer.presentValue(trade, discountingProvider, normalVols, settlementPrice));
}
