Java BlackFxVanillaOptionTradePricer.presentValueSensitivityModelParamsVolatility Examples

Example #1

File: BlackFxVanillaOptionTradePricerTest.java Project: Rowmance/Strata

 public void test_presentValueSensitivityBlackVolatility() {
   PointSensitivities pvSensiTrade =
       PRICER_TRADE.presentValueSensitivityModelParamsVolatility(
           OPTION_TRADE, RATES_PROVIDER, VOLS);
   PointSensitivities pvSensiProduct =
       PRICER_PRODUCT
           .presentValueSensitivityModelParamsVolatility(OPTION_PRODUCT, RATES_PROVIDER, VOLS)
           .build();
   assertEquals(pvSensiTrade, pvSensiProduct);
 }