public static Amount CalculateCurvatureAmount(Sensitivity sensitivity) { if (sensitivity == null) { throw new ArgumentNullException(nameof(sensitivity)); } if (sensitivity.Category != SensitivityCategory.Vega) { throw new ArgumentException("Invalid sensitivity specified.", nameof(sensitivity)); } Decimal days = sensitivity.Tenor.Days; Decimal scaledDays = ModelParameters.GetCurvatureScaledDays(days); return(sensitivity.Amount * scaledDays); }