/src/main/java/net/finmath/montecarlo/interestrate/products/SwaptionGeneralizedAnalyticApproximation.java
final double parSwaprate = net.finmath.marketdata.products.Swap.getForwardSwapRate ( new TimeDiscretizationFromArray ( swapTenor ) , new TimeDiscretizationFromArray ( swapTenor ) , model.getForwardRateCurve ( ) , model.getDiscountCurve ( ) ) ; final double swapAnnuity = net.finmath.marketdata.products.SwapAnnuity.getSwapAnnuity ( new TimeDiscretizationFromArray ( swapTenor ) , model.getDiscountCurve ( ) ) ;
return new Scalar(integratedSwapRateVariance); } final double volatility = Math.sqrt(integratedSwapRateVariance / swapStart); if(valueUnit == ValueUnit.VOLATILITY) { return new Scalar(volatility); } <extra_id_0> final double optionMaturity = swapStart; double valueSwaption; if(stateSpace==StateSpace.LOGNORMAL) { valueSwaption = AnalyticFormulas.blackModelSwaptionValue(parSwaprate, volatility, optionMaturity, swaprate, swapAnnuity); } else {