/src/main/java/net/finmath/singleswaprate/calibration/SABRShiftedSmileCalibration.java
final double cashAnnuity = cashFunction( sabrDisplacement, fixSchedule) ;
final double cashAnnuity = cashFunction ( swapRate, fixSchedule ) ;
for(final int termination : interpolationNodes.getTerminationsForMaturity(maturity)) { if(cashPayerPremiums.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); <extra_id_0> maturities.add(maturity); terminations.add(termination); values.add(AnalyticFormulas.bachelierOptionImpliedVolatility(swapRate, fixSchedule.getFixing(0), swapRate + moneyness /10000.0, cashAnnuity, cashPayerPremiums.getValue(maturity, termination, moneyness))); } }