final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
rhoSettle = -1 * settle * model.presentValue((EquityIndexOption) derivative, market);
} else {
settle = ((EquityOption) derivative).getTimeToSettlement();
final EquityOptionBlackMethod model = EquityOptionBlackMethod.getInstance();
rhoSettle = -1 * settle * model.presentValue((EquityOption) derivative, market);
}
// We use PresentValueNodeSensitivityCalculator to distribute this risk across the curve
final NodeYieldSensitivityCalculator distributor = PresentValueNodeSensitivityCalculator.getDefaultInstance();
// What's left is to package up the inputs to the distributor, a YieldCurveBundle and a Map of Sensitivities
final Map<String, List<DoublesPair>> curveSensMap = new HashMap<>();