//-------------------------------------------------------------------------
/// <summary>
/// Computes the present value sensitivity to the normal 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="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <param name="futurePrice"> the price of the underlying future, in decimal form </param>
/// <returns> the price sensitivity </returns>
public IborFutureOptionSensitivity presentValueSensitivityModelParamsVolatility(ResolvedIborFutureOptionTrade futureOptionTrade, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double futurePrice)
{
ResolvedIborFutureOption product = futureOptionTrade.Product;
IborFutureOptionSensitivity priceSensitivity = futureOptionPricer.priceSensitivityModelParamsVolatility(product, ratesProvider, volatilities, futurePrice);
double factor = futureOptionPricer.marginIndex(product, 1) * futureOptionTrade.Quantity;
return(priceSensitivity.multipliedBy(factor));
}
//-------------------------------------------------------------------------
public virtual void test_multipliedBy()
{
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, 32d * 3.5d);
IborFutureOptionSensitivity test = @base.multipliedBy(3.5d);
assertEquals(test, expected);
}