Java UnitParameterSensitivity Examples

Example #1

File: NormalIborFutureOptionExpirySimpleMoneynessVolatilities.java Project: Rowmance/Strata

 private CurrencyParameterSensitivity parameterSensitivity(IborFutureOptionSensitivity point) {
   double simpleMoneyness =
       moneynessOnPrice
           ? point.getStrikePrice() - point.getFuturePrice()
           : point.getFuturePrice() - point.getStrikePrice();
   UnitParameterSensitivity unitSens =
       surface.zValueParameterSensitivity(point.getExpiry(), simpleMoneyness);
   return unitSens.multipliedBy(point.getCurrency(), point.getSensitivity());
 }

Example #2

File: AddFixedCurveTest.java Project: Rowmance/Strata

 public void yParameterSensitivity() {
   for (int i = 0; i < X_SAMPLE.length; i++) {
     UnitParameterSensitivity dComputed = ADD_FIXED_CURVE.yValueParameterSensitivity(X_SAMPLE[i]);
     UnitParameterSensitivity dExpected = SPREAD_CURVE.yValueParameterSensitivity(X_SAMPLE[i]);
     assertTrue(dComputed.compareKey(dExpected) == 0);
     assertTrue(
         dComputed.getSensitivity().equalWithTolerance(dExpected.getSensitivity(), TOLERANCE_Y));
   }
 }