public void test_presentValueSensitivityBlackVolatility() { BondFutureOptionSensitivity sensi = OPTION_TRADE_PRICER.presentValueSensitivityModelParamsVolatility( OPTION_TRADE, RATE_PROVIDER, VOLS); testPriceSensitivityBlackVolatility(VOLS.parameterSensitivity(sensi), (p) -> OPTION_TRADE_PRICER.presentValue(OPTION_TRADE, RATE_PROVIDER, (p), REFERENCE_PRICE).getAmount()); }
public void test_presentValueSensitivityBlackVolatility_from_future_price() { double futurePrice = 0.975d; BondFutureOptionSensitivity sensi = OPTION_TRADE_PRICER.presentValueSensitivityModelParamsVolatility( OPTION_TRADE, RATE_PROVIDER, VOLS, futurePrice); testPriceSensitivityBlackVolatility(VOLS.parameterSensitivity(sensi), (p) -> OPTION_TRADE_PRICER.presentValue(OPTION_TRADE, RATE_PROVIDER, (p), futurePrice, REFERENCE_PRICE).getAmount()); }