/src/main/java/net/finmath/singleswaprate/products/CashSettledReceiverSwaption.java
value -= cashFunctionFirstDerivative( strike) *2 /swapRate;
value -= cashFunctionFirstDerivative ( swapRate ) *2 /swapRate;
if(swapRate == 0.0) { value = numberOfPeriods * (numberOfPeriods +1) * (numberOfPeriods +2); value *= periodLength * periodLength * periodLength /3; } else { value = Math.pow(periodLength * swapRate + 1, - numberOfPeriods - 2); value *= - (numberOfPeriods +1) * numberOfPeriods * periodLength * periodLength / swapRate; <extra_id_0> } return value; } }