/// <summary>
/// Calculates the delta of the Ibor future option product
/// based on the price of the underlying future.
/// <para>
/// The delta of the product is the sensitivity of the option price to the future price.
/// The volatility is unchanged for a fixed strike in the sensitivity computation, hence the "StickyStrike" name.
///
/// </para>
/// </summary>
/// <param name="futureOption"> the option product </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 curve sensitivity of the product </returns>
public virtual double deltaStickyStrike(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double futurePrice)
{
ArgChecker.isTrue(futureOption.PremiumStyle.Equals(FutureOptionPremiumStyle.DAILY_MARGIN), "Premium style should be DAILY_MARGIN");
double timeToExpiry = volatilities.relativeTime(futureOption.Expiry);
double strike = futureOption.StrikePrice;
ResolvedIborFuture future = futureOption.UnderlyingFuture;
double volatility = volatilities.volatility(timeToExpiry, future.LastTradeDate, strike, futurePrice);
return(NormalFormulaRepository.delta(futurePrice, strike, timeToExpiry, volatility, futureOption.PutCall));
}
/// <summary>
/// Calculates the price sensitivity to the normal volatility used for the pricing of the Ibor future option
/// based on the price of the underlying future.
/// <para>
/// This sensitivity is also called the <i>price normal vega</i>.
///
/// </para>
/// </summary>
/// <param name="futureOption"> the option product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="volatilities"> the volatilities </param>
/// <param name="futurePrice"> the underlying future price, in decimal form </param>
/// <returns> the sensitivity </returns>
public virtual IborFutureOptionSensitivity priceSensitivityModelParamsVolatility(ResolvedIborFutureOption futureOption, RatesProvider ratesProvider, NormalIborFutureOptionVolatilities volatilities, double futurePrice)
{
ArgChecker.isTrue(futureOption.PremiumStyle.Equals(FutureOptionPremiumStyle.DAILY_MARGIN), "Premium style should be DAILY_MARGIN");
double timeToExpiry = volatilities.relativeTime(futureOption.Expiry);
double strike = futureOption.StrikePrice;
ResolvedIborFuture future = futureOption.UnderlyingFuture;
double volatility = volatilities.volatility(timeToExpiry, future.LastTradeDate, strike, futurePrice);
double vega = NormalFormulaRepository.vega(futurePrice, strike, timeToExpiry, volatility, futureOption.PutCall);
return(IborFutureOptionSensitivity.of(volatilities.Name, timeToExpiry, future.LastTradeDate, strike, futurePrice, future.Currency, vega));
}