/**
* Computes the present value gamma of a transaction. This is with respect to futures rate
*
* @param transaction The future option transaction.
* @param blackData The curve and Black volatility data.
* @return The gamma.
*/
public double presentValueGamma(
final BondFutureOptionPremiumTransaction transaction,
final YieldCurveWithBlackCubeBundle blackData) {
ArgumentChecker.notNull(transaction, "transaction");
ArgumentChecker.notNull(blackData, "Black data");
final double securityGamma =
METHOD_SECURITY.optionPriceGamma(transaction.getUnderlyingOption(), blackData);
final double txnGamma =
securityGamma
* transaction.getQuantity()
* transaction.getUnderlyingOption().getUnderlyingFuture().getNotional();
return txnGamma;
}
