Fixed unit test after change of delta from forward to spot.
@@ -863,7 +863,7 @@ public class LIBORMarketModelNormalAADSensitivitiesTest {
double payoffUnit = discountFactor * periodLength;
- double sensitivityAnl = AnalyticFormulas.bachelierOptionDelta(forward, volatility, optionMaturity, optionStrike, payoffUnit);
+ double sensitivityAnl = AnalyticFormulas.bachelierOptionDelta(forward, volatility, optionMaturity, optionStrike, payoffUnit) * payoffUnit;
System.out.println("derivative (AAD) " + riskFactorName + "...: " + formatterValue.format(sensitivityAAD));
System.out.println("derivative (analytic) " + riskFactorName + "...: " + formatterValue.format(sensitivityAnl));
@@ -886,7 +886,7 @@ public class LIBORMarketModelNormalAADSensitivitiesTest {
double payoffUnit = discountFactor * periodLength;
- double sensitivityAnl = AnalyticFormulas.bachelierOptionDelta(forward, volatility, optionMaturity, optionStrike, payoffUnit);
+ double sensitivityAnl = AnalyticFormulas.bachelierOptionDelta(forward, volatility, optionMaturity, optionStrike, payoffUnit) * payoffUnit;
System.out.println("derivative (AAD) " + riskFactorName + "...: " + formatterValue.format(sensitivityAAD));
System.out.println("derivative (analytic) " + riskFactorName + "...: " + formatterValue.format(sensitivityAnl));
