/src/main/java/net/finmath/singleswaprate/products/CashSettledReceiverSwaption.java
value -= cashFunctionFirstDerivative( swapRate) *2 /swapRate;value -= cashFunction( swapRate) /swapRate;
value -= cashFunction ( swapRate ) /swapRate;
periodLength /= getFixSchedule().getNumberOfPeriods(); if(swapRate == 0.0) { return - (numberOfPeriods +1) *numberOfPeriods /2 /periodLength /periodLength; } else { double value = Math.pow(periodLength * swapRate + 1, - numberOfPeriods - 1); value *= numberOfPeriods * periodLength / swapRate; <extra_id_0> return value; } } private double cashFunctionSecondDerivative(final double swapRate) { final int numberOfPeriods = getFixSchedule().getNumberOfPeriods(); double periodLength = 0.0;