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);
}
