// present value for one scenario
internal MultiCurrencyAmount presentValue(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(tradePricer.presentValue(trade, ratesProvider, volatilities));
}
// calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesCalibratedBucketed(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
PointSensitivities pointSensitivity = this.pointSensitivity(trade, ratesProvider, volatilities);
return(ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
// point sensitivity
private PointSensitivities pointSensitivity(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(tradePricer.presentValueSensitivityRates(trade, ratesProvider, volatilities));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
PointSensitivities pointSensitivity = this.pointSensitivity(trade, ratesProvider, volatilities);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
/// <summary>
/// Calculates present value for a single set of market data.
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the cap/floor volatilities </param>
/// <returns> the present value </returns>
public virtual MultiCurrencyAmount presentValue(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(calc.presentValue(trade, ratesProvider, volatilities));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of present value to a one basis point shift in
/// the market quotes used to calibrate the curves.
/// The result is provided for each affected curve and currency, bucketed by curve node.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the cap/floor volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual CurrencyParameterSensitivities pv01RatesMarketQuoteBucketed(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(calc.pv01RatesMarketQuoteBucketed(trade, ratesProvider, volatilities));
}
/// <summary>
/// Calculates present value sensitivity for a single set of market data.
/// <para>
/// This is the sensitivity of present value to a one basis point shift in
/// the market quotes used to calibrate the curves.
/// The result is the sum of the sensitivities of all affected curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the market data </param>
/// <param name="volatilities"> the cap/floor volatilities </param>
/// <returns> the present value sensitivity </returns>
public virtual MultiCurrencyAmount pv01RatesMarketQuoteSum(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)
{
return(calc.pv01RatesMarketQuoteSum(trade, ratesProvider, volatilities));
}
