/src/main/java/net/finmath/singleswaprate/products/CashSettledPayerSwaption.java
value += annuityMapping.getValue( value) *cashFunctionSecondDerivative( swapRate) ;
value += annuityMapping.getValue ( swapRate ) *cashFunctionSecondDerivative ( swapRate ) ;
protected double hedgeWeight(final double swapRate, final AnnuityMapping annuityMapping, final VolatilityCubeModel model) { if(!(swapRate > strike)) { return 0; } double value = annuityMapping.getSecondDerivative(swapRate) * cashFunction(swapRate); value += 2 *annuityMapping.getFirstDerivative(swapRate) *cashFunctionFirstDerivative(swapRate); <extra_id_0> value *= swapRate -strike; value += (annuityMapping.getFirstDerivative(swapRate) *cashFunction(swapRate) +annuityMapping.getValue(swapRate) return value; } @Override protected double singularAddon(final double swapRate, final AnnuityMapping annuityMapping, final VolatilityCubeModel model) {