// calculates calibrated parallel IR01 for one scenario
internal CurrencyAmount ir01CalibratedParallel(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueOnSettleSensitivity(trade, ratesProvider, refData);
CurrencyParameterSensitivity irSensitivity = ratesProvider.singleDiscountCurveParameterSensitivity(pointSensitivity, trade.Product.Currency);
return(irSensitivity.total().multipliedBy(ONE_BASIS_POINT));
}
// calculates market quote sum PV01 for one scenario
internal MultiCurrencyAmount pv01MarketQuoteSum(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider, refData);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
CurrencyParameterSensitivities quoteSensitivity = MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider);
return(quoteSensitivity.total().multipliedBy(ONE_BASIS_POINT));
}
// calculates market quote parallel IR01 for one scenario
internal MultiCurrencyAmount ir01MarketQuoteParallel(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueOnSettleSensitivity(trade, ratesProvider, refData);
CurrencyParameterSensitivity parameterSensitivity = ratesProvider.singleDiscountCurveParameterSensitivity(pointSensitivity, trade.Product.Currency);
CurrencyParameterSensitivities irSensitivity = MARKET_QUOTE_SENS.sensitivity(CurrencyParameterSensitivities.of(parameterSensitivity), ratesProvider);
return(irSensitivity.total().multipliedBy(ONE_BASIS_POINT));
}
// calculates principal for one scenario
internal CurrencyAmount principal(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(tradePricer.presentValueOnSettle(trade, ratesProvider, PriceType.CLEAN, refData));
}
// calculates present value for one scenario
internal CurrencyAmount presentValue(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
{
return(tradePricer.presentValue(trade, ratesProvider, priceType, refData));
}
// calculates expected loss for one scenario
internal CurrencyAmount expectedLoss(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider)
{
return(tradePricer.expectedLoss(trade, ratesProvider));
}
// calculates jump-to-default for one scenario
internal JumpToDefault jumpToDefault(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(tradePricer.jumpToDefault(trade, ratesProvider, refData));
}
// calculates recovery01 for one scenario
internal CurrencyAmount recovery01(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(tradePricer.recovery01OnSettle(trade, ratesProvider, refData));
}
// calculates bucketed CS01 for one scenario
internal CurrencyParameterSensitivity cs01Bucketed(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(cs01Calculator.bucketedCs01(trade, ratesProvider, refData));
}
// calculates parallel CS01 for one scenario
internal CurrencyAmount cs01Parallel(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
return(cs01Calculator.parallelCs01(trade, ratesProvider, refData));
}
// calculates calibrated bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider, refData);
return(ratesProvider.parameterSensitivity(pointSensitivity).multipliedBy(ONE_BASIS_POINT));
}
// calculates price for one scenario
internal double unitPrice(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
double puf = tradePricer.price(trade, ratesProvider, PriceType.CLEAN, refData);
return(converter.cleanPriceFromPointsUpfront(puf));
}
// calculates market quote bucketed PV01 for one scenario
internal CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider, refData);
CurrencyParameterSensitivities parameterSensitivity = ratesProvider.parameterSensitivity(pointSensitivity);
return(MARKET_QUOTE_SENS.sensitivity(parameterSensitivity, ratesProvider).multipliedBy(ONE_BASIS_POINT));
}
// calculates calibrated sum PV01 for one scenario
internal MultiCurrencyAmount pv01CalibratedSum(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider, refData);
return(ratesProvider.parameterSensitivity(pointSensitivity).total().multipliedBy(ONE_BASIS_POINT));
}
