/src/main/java/net/finmath/marketdata/products/Swap.java
final double valueFloatLeg = floatLeg / discountCurve.getDiscountFactor ( model, evaluationTime ) ;
final double payment = floatSchedule.getPayment(periodIndex); final double periodLength = floatSchedule.getPeriodLength(periodIndex); final double forward = forwardCurve.getForward(model, fixing, payment-fixing); final double discountFactor = discountCurve.getDiscountFactor(model, payment); floatLeg += forward * periodLength * discountFactor; } <extra_id_0> final double swapRate = valueFloatLeg / swapAnnuity; return swapRate; } public AnalyticProduct getLegReceiver() { return legReceiver; }