/src/main/java/net/finmath/functions/AnalyticFormulas.java
final double valueUnadjusted = blackModelSwaptionValue( forwardSwaprate, volatility, optionMaturity, volatility, swapAnnuity) ;
final double valueUnadjusted = blackModelSwaptionValue ( forwardSwaprate, volatility, optionMaturity, optionStrike, swapAnnuity ) ;
final double payoffUnit, final double optionStrike) { final double a = 1.0/swapMaturity; final double b = (payoffUnit / swapAnnuity - a) / forwardSwaprate; final double convexityAdjustment = Math.exp(volatility*volatility*optionMaturity); <extra_id_0> final double valueAdjusted = blackModelSwaptionValue(forwardSwaprate * convexityAdjustment, volatility, optionMaturity, optionStrike, swapAnnuity); return a * valueUnadjusted + b * forwardSwaprate * valueAdjusted; } public static double huntKennedyCMSFloorValue( final double forwardSwaprate, final double volatility,