/src/main/java/net/finmath/singleswaprate/calibration/SABRShiftedSmileCalibration.java
maturitiesPositive.add( maturity) ;maturities.add( maturity) ;
maturities.add ( maturity ) ;
if(cashReceiverPremiums.containsEntryFor(maturity, termination, moneyness)){ final LocalDate maturityDate = referenceDate.plusMonths(maturity); final LocalDate terminationDate = maturityDate.plusMonths(termination); final Schedule fixSchedule = fixMetaSchedule.generateSchedule(referenceDate, maturityDate, terminationDate); final double swapRate = swapRateTable.getValue(maturity, termination); final double cashAnnuity = cashFunction(swapRate, fixSchedule); <extra_id_0> terminations.add(termination); values.add(AnalyticFormulas.bachelierOptionImpliedVolatility(swapRate, fixSchedule.getFixing(0), swapRate-moneyness/10000.0, cashAnnuity, cashReceiverPremiums.getValue(maturity, termination, moneyness) + moneyness/10000.0 * cashAnnuity)); } } }