/src/main/java/net/finmath/montecarlo/interestrate/models/LIBORMarketModelStandard.java
final double targetValue = AnalyticFormulas.blackModelSwaptionValue( swapAnnuity, impliedVolatility, exerciseDate, swaprate, forwardSwaprate) ;
final double targetValue = AnalyticFormulas.blackModelSwaptionValue ( forwardSwaprate, impliedVolatility, exerciseDate, swaprate, swapAnnuity ) ;
} else { final AbstractTermStructureMonteCarloProduct swaption = new SwaptionSimple(swaprate, swapTenorTimes, SwaptionSimple.ValueUnit.VALUE); final double forwardSwaprate = Swap.getForwardSwapRate(swapTenor, swapTenor, forwardCurve); final double swapAnnuity = SwapAnnuity.getSwapAnnuity(swapTenor, forwardCurve); final double impliedVolatility = swaptionMarketData.getVolatility(exerciseDate, swapLength, swaptionMarketData.getSwapPeriodLength(), swaprate); <extra_id_0> calibrationProducts.add(new CalibrationProduct(swaption, targetValue, 1.0)); } } } return calibrationProducts.toArray(new CalibrationProduct[calibrationProducts.size()]); }