// calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01CalibratedSum(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivityRates(trade, ratesProvider, normalVols);
return(ratesProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT));
}
// unit price for one scenario
internal double unitPrice(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
// mark to model
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
return(tradePricer.price(trade, ratesProvider, normalVols));
}
// present value for one scenario
internal CurrencyAmount presentValue(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
// mark to model
double settlementPrice = this.settlementPrice(trade, ratesProvider);
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
return(tradePricer.presentValue(trade, ratesProvider, normalVols, settlementPrice));
}
// market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider, IborFutureOptionVolatilities volatilities)
{
NormalIborFutureOptionVolatilities normalVols = checkNormalVols(volatilities);
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivityRates(trade, ratesProvider, normalVols);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
