/**
* Computes the present value curve sensitivity of a transaction.
*
* @param transaction The future option transaction.
* @param curves The yield curve bundle.
* @return The present value curve sensitivity.
*/
public InterestRateCurveSensitivity presentValueCurveSensitivity(
final BondFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(curves, "curves");
final InterestRateCurveSensitivity premiumSensitivity =
PVCSC.visit(transaction.getPremium(), curves);
final InterestRateCurveSensitivity securitySensitivity =
METHOD_SECURITY.priceCurveSensitivity(transaction.getUnderlyingOption(), curves);
return premiumSensitivity.plus(
securitySensitivity.multipliedBy(
transaction.getQuantity()
* transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()));
}
