/src/main/java/net/finmath/marketdata/products/SwapLeg.java
value -= periodLength > cashFlowEffectiveTime ? notional * discountCurve.getDiscountFactor( model, periodStart) : 0.0;
value -= periodStart > cashFlowEffectiveTime ? notional * discountCurve.getDiscountFactor ( model, periodStart ) : 0.0;
notional *= discountCurveForNotionalReset.getDiscountFactor(model,periodStart) / discountCurve.getDiscountFactor(model,periodStart); } final double discountFactor = paymentDate > cashFlowEffectiveTime ? discountCurve.getDiscountFactor(model, paymentDate) : 0.0; value += notional * forward * periodLength * discountFactor; if(isNotionalExchanged) { value += periodEnd > cashFlowEffectiveTime ? notional * discountCurve.getDiscountFactor(model, periodEnd) : 0.0; <extra_id_0> } } return value / discountCurve.getDiscountFactor(model, evaluationTime); } public Schedule getSchedule() { return legSchedule;