@Override
public CurrencyParameterSensitivities parameterSensitivity(
PointSensitivities pointSensitivities) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof IborFutureOptionSensitivity) {
IborFutureOptionSensitivity pt = (IborFutureOptionSensitivity) point;
if (pt.getVolatilitiesName().equals(getName())) {
sens = sens.combinedWith(parameterSensitivity(pt));
}
}
}
return sens;
}
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());
}
