Ejemplos de BlackFxVanillaOptionProductPricer.presentValueSensitivityRates en Java

Ejemplo n.º 1

Archivo: BlackFxVanillaOptionTradePricerTest.java Proyecto: Rowmance/Strata

 public void test_presentValueSensitivity() {
   PointSensitivities pvSensiTrade =
       PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS);
   PointSensitivities pvSensiProduct =
       PRICER_PRODUCT.presentValueSensitivityRates(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
   PointSensitivities pvSensiPremium =
       PRICER_PAYMENT.presentValueSensitivity(PREMIUM, RATES_PROVIDER).build();
   assertEquals(pvSensiTrade, pvSensiProduct.combinedWith(pvSensiPremium));
 }