// calibrated sum PV01 for one scenario
MultiCurrencyAmount pv01CalibratedSum(ResolvedDsfTrade trade, RatesProvider ratesProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
return ratesProvider
.parameterSensitivity(pointSensitivity)
.total()
.multipliedBy(ONE_BASIS_POINT);
}
// market quote bucketed PV01 for one scenario
CurrencyParameterSensitivities pv01MarketQuoteBucketed(
ResolvedDsfTrade trade, RatesProvider ratesProvider) {
PointSensitivities pointSensitivity = tradePricer.presentValueSensitivity(trade, ratesProvider);
CurrencyParameterSensitivities parameterSensitivity =
ratesProvider.parameterSensitivity(pointSensitivity);
return MARKET_QUOTE_SENS
.sensitivity(parameterSensitivity, ratesProvider)
.multipliedBy(ONE_BASIS_POINT);
}
