@Override
public SurfaceCurrencyParameterSensitivity surfaceCurrencyParameterSensitivity(
IborCapletFloorletSensitivity point) {
ArgChecker.isTrue(
point.getIndex().equals(index),
"Ibor index of provider must be the same as Ibor index of point sensitivity");
double expiry = relativeTime(point.getExpiry());
double strike = point.getStrike();
// copy to ImmutableMap to lock order (keySet and values used separately but must match)
Map<DoublesPair, Double> result =
ImmutableMap.copyOf(surface.zValueParameterSensitivity(expiry, strike));
SurfaceCurrencyParameterSensitivity parameterSensi =
SurfaceCurrencyParameterSensitivity.of(
updateSurfaceMetadata(result.keySet()),
point.getCurrency(),
DoubleArray.copyOf(Doubles.toArray(result.values())));
return parameterSensi.multipliedBy(point.getSensitivity());
}
