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());
}
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));
}
}
