private CurrencyParameterSensitivity parameterSensitivity(BondFutureOptionSensitivity pointSensitivity) { double logMoneyness = Math.log(pointSensitivity.getStrikePrice() / pointSensitivity.getFuturePrice()); double expiryTime = pointSensitivity.getExpiry(); UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(expiryTime, logMoneyness); return unitSens.multipliedBy(pointSensitivity.getCurrency(), pointSensitivity.getSensitivity()); }
public void test_of() { BondFutureOptionSensitivity test = BondFutureOptionSensitivity.of( NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY); assertEquals(test.getVolatilitiesName(), NAME); assertEquals(test.getCurrency(), GBP); assertEquals(test.getExpiry(), OPTION_EXPIRY); assertEquals(test.getFutureExpiryDate(), FUTURE_EXPIRY); assertEquals(test.getStrikePrice(), STRIKE_PRICE); assertEquals(test.getFuturePrice(), FUTURE_PRICE); assertEquals(test.getSensitivity(), SENSITIVITY); }
@Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 2100884654: // volatilitiesName return ((BondFutureOptionSensitivity) bean).getVolatilitiesName(); case -1289159373: // expiry return ((BondFutureOptionSensitivity) bean).getExpiry(); case -1119821404: // futureExpiryDate return ((BondFutureOptionSensitivity) bean).getFutureExpiryDate(); case 50946231: // strikePrice return ((BondFutureOptionSensitivity) bean).getStrikePrice(); case -518499002: // futurePrice return ((BondFutureOptionSensitivity) bean).getFuturePrice(); case 575402001: // currency return ((BondFutureOptionSensitivity) bean).getCurrency(); case 564403871: // sensitivity return ((BondFutureOptionSensitivity) bean).getSensitivity(); } return super.propertyGet(bean, propertyName, quiet); }