//------------------------------------------------------------------------- /// <summary> /// Calculates present value across one or more scenarios. /// </summary> /// <param name="trade"> the trade </param> /// <param name="ratesLookup"> the lookup used to query the market data </param> /// <param name="swaptionLookup"> the lookup used to query the swaption market data </param> /// <param name="marketData"> the market data </param> /// <returns> the present value, one entry per scenario </returns> public virtual MultiCurrencyScenarioArray presentValue(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) { return(calc.presentValue(trade, ratesLookup.marketDataView(marketData), swaptionLookup.marketDataView(marketData))); }
//------------------------------------------------------------------------- /// <summary> /// Calculates present value sensitivity across one or more scenarios. /// <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="ratesLookup"> the lookup used to query the market data </param> /// <param name="marketData"> the market data </param> /// <param name="swaptionLookup"> the lookup used to query the swaption market data </param> /// <returns> the present value sensitivity, one entry per scenario </returns> public virtual ScenarioArray <CurrencyParameterSensitivities> pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData) { return(calc.pv01RatesMarketQuoteBucketed(trade, ratesLookup.marketDataView(marketData), swaptionLookup.marketDataView(marketData))); }