// ------------------------------------------------------------------------- public void test_priceSensitivityBlackVolatility() { BondFutureOptionSensitivity sensi = OPTION_PRICER.priceSensitivityBlackVolatility( FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER); testPriceSensitivityBlackVolatility( VOL_PROVIDER.surfaceCurrencyParameterSensitivity(sensi), (p) -> OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, (p))); }
public void test_priceSensitivityBlackVolatility_from_future_price() { double futurePrice = 1.1d; BondFutureOptionSensitivity sensi = OPTION_PRICER.priceSensitivityBlackVolatility( FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice); testPriceSensitivityBlackVolatility( VOL_PROVIDER.surfaceCurrencyParameterSensitivity(sensi), (p) -> OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, (p), futurePrice)); }