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