//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value sensitivity to the Black volatility used in the pricing
/// based on the price of the underlying future.
/// <para>
/// The result is a single sensitivity to the volatility used.
/// The volatility is associated with the expiry/delay/strike/future price key combination.
///
/// </para>
/// </summary>
/// <param name="futureOptionTrade"> the trade </param>
/// <param name="discountingProvider"> the discounting provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <param name="futurePrice"> the price of the underlying future </param>
/// <returns> the price sensitivity </returns>
public BondFutureOptionSensitivity presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade futureOptionTrade, LegalEntityDiscountingProvider discountingProvider, BlackBondFutureVolatilities volatilities, double futurePrice)
{
ResolvedBondFutureOption product = futureOptionTrade.Product;
BondFutureOptionSensitivity priceSensitivity = productPricer.priceSensitivityModelParamsVolatility(product, discountingProvider, volatilities, futurePrice);
double factor = productPricer.marginIndex(product, 1) * futureOptionTrade.Quantity;
return(priceSensitivity.multipliedBy(factor));
}
//-------------------------------------------------------------------------
public virtual void test_multipliedBy()
{
BondFutureOptionSensitivity @base = BondFutureOptionSensitivity.of(NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
BondFutureOptionSensitivity expected = BondFutureOptionSensitivity.of(NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY * 3.5d);
BondFutureOptionSensitivity test = @base.multipliedBy(3.5d);
assertEquals(test, expected);
}