Exemplos de IborFutureOptionSensitivity.getSensitivity em Java

Exemplo n.º 1

Arquivo: NormalIborFutureOptionExpirySimpleMoneynessVolatilities.java Projeto: 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());
 }