/src/main/java/net/finmath/singleswaprate/products/AbstractSingleSwapRateProduct.java
final double volatility = model.getVolatilityCube( getVolatilityCubeName( ) ).getValue( model, termination, quotingConvention, optionStrike, optionMaturity) ;
final double volatility = model.getVolatilityCube ( getVolatilityCubeName ( ) ) .getValue ( model, termination, optionMaturity, optionStrike, quotingConvention ) ;
protected double valuePut(final double optionStrike, final VolatilityCubeModel model, final double swapRate){ return valueCall(optionStrike, model, swapRate) - (swapRate-optionStrike); } protected double valueCall(final double optionStrike, final VolatilityCubeModel model, final double swapRate){ final double optionMaturity = getFixSchedule().getFixing(0); final double termination = getFixSchedule().getPayment(getFixSchedule().getNumberOfPeriods()-1); <extra_id_0> final double value = AnalyticFormulas.bachelierOptionValue(swapRate, volatility, optionMaturity, optionStrike, 1.0); return value; } public Schedule getFixSchedule() { return fixSchedule; }