/**
* Computes the option security price from future price.
*
* @param security The future option security.
* @param normalData The normal volatility and multi-curves provider.
* @param priceFuture The price of the underlying future.
* @return The security price.
*/
public double priceFromFuturePrice(
final InterestRateFutureOptionMarginSecurity security,
final NormalSTIRFuturesSmileProviderInterface normalData,
final double priceFuture) {
ArgumentChecker.notNull(security, "Option security");
ArgumentChecker.notNull(normalData, "Normal data");
final EuropeanVanillaOption option =
new EuropeanVanillaOption(
security.getStrike(), security.getExpirationTime(), security.isCall());
final double delay =
security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
final double volatility =
normalData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
final NormalFunctionData normalPoint = new NormalFunctionData(priceFuture, 1.0, volatility);
final double priceSecurity = NORMAL_FUNCTION.getPriceFunction(option).evaluate(normalPoint);
return priceSecurity;
}
