//-------------------------------------------------------------------------
// calculates market quote sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedFxSwapTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01MarketQuoteSum(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates market quote bucketed PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedFxSwapTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01MarketQuoteBucketed(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates currency exposure for all scenarios
internal MultiCurrencyScenarioArray currencyExposure(ResolvedDsfTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currencyExposure(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates present value for all scenarios
internal CurrencyScenarioArray presentValue(ResolvedDsfTrade trade, RatesScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => presentValue(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates calibrated sum PV01 for all scenarios
internal MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedIborFutureTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => pv01CalibratedSum(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates unit price for all scenarios
internal DoubleScenarioArray unitPrice(ResolvedDsfTrade trade, RatesScenarioMarketData marketData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => unitPrice(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// 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 par spread for all scenarios
internal DoubleScenarioArray parSpread(ResolvedIborFutureTrade trade, RatesScenarioMarketData marketData)
{
return(DoubleScenarioArray.of(marketData.ScenarioCount, i => parSpread(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates explain present value for all scenarios
internal ScenarioArray <ExplainMap> explainPresentValue(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => explainPresentValue(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// 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))));
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
internal CurrencyScenarioArray currentCash(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(CurrencyScenarioArray.of(marketData.ScenarioCount, i => currentCash(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates cash flows for all scenarios
internal ScenarioArray <CashFlows> cashFlows(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => cashFlows(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates single-node gamma PV01 for all scenarios
internal ScenarioArray <CurrencyParameterSensitivities> pv01SingleNodeGammaBucketed(ResolvedBulletPaymentTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => pv01SingleNodeGammaBucketed(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates forward FX rate for all scenarios
internal ScenarioArray <FxRate> forwardFxRate(ResolvedFxSingleTrade trade, RatesScenarioMarketData marketData)
{
return(ScenarioArray.of(marketData.ScenarioCount, i => forwardFxRate(trade, marketData.scenario(i).ratesProvider())));
}
//-------------------------------------------------------------------------
// calculates current cash for all scenarios
internal MultiCurrencyScenarioArray currentCash(ResolvedFxSingleTrade trade, RatesScenarioMarketData marketData)
{
return(MultiCurrencyScenarioArray.of(marketData.ScenarioCount, i => currentCash(trade, marketData.scenario(i).ratesProvider())));
}
