//-------------------------------------------------------------------------
public virtual void test_withSensitivity()
{
IborFutureOptionSensitivity @base = IborFutureOptionSensitivity.of(NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 32d);
IborFutureOptionSensitivity expected = IborFutureOptionSensitivity.of(NAME, 12d, date(2015, 8, 28), 0.98, 0.99, GBP, 20d);
IborFutureOptionSensitivity test = @base.withSensitivity(20d);
assertEquals(test, expected);
}
// ---------- present value normal vol sensitivity ----------
public virtual void presentvalue_normalVolSensitivity_from_env()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
when(mockIbor.rate(OPTION.UnderlyingFuture.IborRate.Observation)).thenReturn(RATE);
IborFutureOptionSensitivity psProduct = OPTION_PRODUCT_PRICER.priceSensitivityModelParamsVolatility(OPTION, prov, VOL_SIMPLE_MONEY_PRICE);
IborFutureOptionSensitivity psExpected = psProduct.withSensitivity(psProduct.Sensitivity * OPTION_PRODUCT_PRICER.marginIndex(OPTION, 1) * OPTION_QUANTITY);
IborFutureOptionSensitivity psComputed = OPTION_TRADE_PRICER.presentValueSensitivityModelParamsVolatility(FUTURE_OPTION_TRADE, prov, VOL_SIMPLE_MONEY_PRICE);
assertTrue(psExpected.compareKey(psComputed) == 0);
assertEquals(psComputed.Sensitivity, psExpected.Sensitivity, TOLERANCE_PV_DELTA);
}