예제 #1
0
 // determine the curve parameter sensitivities, removing the curency
 private UnitParameterSensitivities extractSensitivities(
     ResolvedTrade trade, RatesProvider provider) {
   CalibrationMeasure<ResolvedTrade> measure = getMeasure(trade);
   CurrencyParameterSensitivities paramSens = measure.sensitivities(trade, provider);
   UnitParameterSensitivities unitSens = UnitParameterSensitivities.empty();
   for (CurrencyParameterSensitivity ccySens : paramSens.getSensitivities()) {
     unitSens = unitSens.combinedWith(ccySens.toUnitParameterSensitivity());
   }
   return unitSens;
 }