// -------------------------------------------------------------------------
public void test_priceSensitivityBlackVolatility() {
BondFutureOptionSensitivity sensi =
OPTION_PRICER.priceSensitivityBlackVolatility(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
testPriceSensitivityBlackVolatility(
VOL_PROVIDER.surfaceCurrencyParameterSensitivity(sensi),
(p) -> OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, (p)));
}
public void test_priceSensitivityBlackVolatility_from_future_price() {
double futurePrice = 1.1d;
BondFutureOptionSensitivity sensi =
OPTION_PRICER.priceSensitivityBlackVolatility(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
testPriceSensitivityBlackVolatility(
VOL_PROVIDER.surfaceCurrencyParameterSensitivity(sensi),
(p) -> OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, (p), futurePrice));
}
