public void theta() {
   double priceFutures =
       METHOD_FUTURE.price(CALL_JB_147.getUnderlyingFuture(), ISSUER_SPECIFIC_MULTICURVES);
   double expiry = CALL_JB_147.getExpirationTime();
   double volatility = BLACK_SURFACE_EXP_STRIKE.getZValue(expiry, STRIKE_147);
   double rate =
       -Math.log(
               ISSUER_SPECIFIC_MULTICURVES
                   .getMulticurveProvider()
                   .getDiscountFactor(CALL_JB_147.getCurrency(), CALL_JB_147.getExpirationTime()))
           / CALL_JB_147.getExpirationTime();
   double thetaCallExpected =
       BlackFormulaRepository.theta(
           priceFutures,
           STRIKE_147,
           CALL_JB_147.getExpirationTime(),
           volatility,
           CALL_JB_147.isCall(),
           rate);
   double thetaCallComputed = METHOD_OPT.theta(CALL_JB_147, BLACK_EXP_STRIKE_BNDFUT);
   assertEquals(
       "BondFuturesOptionMarginSecurityBlackFlatMethod: theta",
       thetaCallExpected,
       thetaCallComputed,
       TOLERANCE_DELTA);
 }
 public void delta() {
   final double priceFutures =
       METHOD_FUTURE.price(CALL_JB_147.getUnderlyingFuture(), ISSUER_SPECIFIC_MULTICURVES);
   final EuropeanVanillaOption option =
       new EuropeanVanillaOption(
           STRIKE_147, CALL_JB_147.getExpirationTime(), CALL_JB_147.isCall());
   final double expiry = CALL_JB_147.getExpirationTime();
   final double volatility = BLACK_SURFACE_EXP_STRIKE.getZValue(expiry, STRIKE_147);
   double df =
       ISSUER_SPECIFIC_MULTICURVES
           .getMulticurveProvider()
           .getDiscountFactor(JBM5_DEFINITION.getCurrency(), CALL_JB_147.getExpirationTime());
   final BlackFunctionData dataBlack = new BlackFunctionData(priceFutures, df, volatility);
   final double[] priceAD = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
   final double deltaCallExpected = priceAD[1];
   final double deltaCallComputed = METHOD_OPT.delta(CALL_JB_147, BLACK_EXP_STRIKE_BNDFUT);
   assertEquals(
       "BondFuturesOptionPremiumSecurityBlackBondFuturesMethod: delta",
       deltaCallExpected,
       deltaCallComputed,
       TOLERANCE_DELTA);
   final double deltaPutComputed = METHOD_OPT.delta(PUT_JB_147, BLACK_EXP_STRIKE_BNDFUT);
   assertEquals(
       "BondFuturesOptionPremiumSecurityBlackBondFuturesMethod: delta",
       deltaCallExpected - deltaPutComputed,
       df,
       TOLERANCE_DELTA);
 }
 public void priceFromCurves() {
   final double priceFutures =
       METHOD_FUTURE.price(CALL_JB_147.getUnderlyingFuture(), ISSUER_SPECIFIC_MULTICURVES);
   final double priceExpected =
       METHOD_OPT.priceFromUnderlyingPrice(CALL_JB_147, BLACK_EXP_STRIKE_BNDFUT, priceFutures);
   final double priceComputed = METHOD_OPT.price(CALL_JB_147, BLACK_EXP_STRIKE_BNDFUT);
   assertEquals(
       "BondFuturesOptionPremiumSecurityBlackBondFuturesMethod: underlying futures price",
       priceExpected,
       priceComputed,
       TOLERANCE_RATE);
 }
 public void putCallParity() {
   final double priceFutures =
       METHOD_FUTURE.price(CALL_JB_147.getUnderlyingFuture(), ISSUER_SPECIFIC_MULTICURVES);
   final double priceCallComputed = METHOD_OPT.price(CALL_JB_147, BLACK_EXP_STRIKE_BNDFUT);
   final double pricePutComputed = METHOD_OPT.price(PUT_JB_147, BLACK_EXP_STRIKE_BNDFUT);
   double df =
       ISSUER_SPECIFIC_MULTICURVES
           .getMulticurveProvider()
           .getDiscountFactor(JBM5_DEFINITION.getCurrency(), CALL_JB_147.getExpirationTime());
   assertEquals(
       "BondFuturesOptionPremiumSecurityBlackBondFuturesMethod: put call parity price",
       priceCallComputed - pricePutComputed,
       (priceFutures - STRIKE_147) * df,
       TOLERANCE_RATE);
 }