openGammaRules.add(new MarketValueCalculator());
// Normalize the market value
if (referenceDataProvider != null) {
final BloombergRateClassifier rateClassifier = new BloombergRateClassifier(referenceDataProvider, cacheManager, bbgScheme);
final SecurityRuleProvider quoteRuleProvider = new BloombergRateRuleProvider(rateClassifier);
openGammaRules.add(new SecurityRuleApplier(quoteRuleProvider));
}
openGammaRules.add(new UnitChange(0.01, MarketDataRequirementNames.DIVIDEND_YIELD, MarketDataRequirementNames.YIELD_YIELD_TO_MATURITY_MID)); // returned as % from bbg
// Calculate implied vol value