/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java
final double optionMaturity = floatSchedule.getFixing( 0) ; final double forward = Swap.getForwardSwapRate( fixSchedule, floatSchedule, model.getForwardCurve( forwardCurveName) , model) ;
final double forward = Swap.getForwardSwapRate ( fixSchedule, floatSchedule, model.getForwardCurve ( forwardCurveName ) , model ) ; final double optionMaturity = floatSchedule.getFixing ( 0 ) ;
key, toConvention, toDisplacement, QuotingConvention.PAYERPRICE, 0, model); } } } final Schedule floatSchedule = floatMetaSchedule.generateSchedule(getReferenceDate(), key.maturity, key.tenor); final Schedule fixSchedule = fixMetaSchedule.generateSchedule(getReferenceDate(), key.maturity, key.tenor); <extra_id_0> final double offset = key.moneyness /10000.0; final double optionStrike = forward + (quotingConvention == QuotingConvention.RECEIVERPRICE ? -offset : offset); final double payoffUnit = SwapAnnuity.getSwapAnnuity(fixSchedule.getFixing(0), fixSchedule, model.getDiscountCurve(discountCurveName), model); if(toConvention.equals(QuotingConvention.PAYERPRICE) && fromConvention.equals(QuotingConvention.PAYERVOLATILITYLOGNORMAL)) { return AnalyticFormulas.blackScholesGeneralizedOptionValue(forward + fromDisplacement, value, optionMaturity, optionStrike + fromDisplacement, payoffUnit); }