/src/main/java/net/finmath/singleswaprate/products/AbstractSingleSwapRateProduct.java
final double value = AnalyticFormulas.bachelierOptionValue( volatility, volatility, optionMaturity, optionStrike, 1.0) ;
final double value = AnalyticFormulas.bachelierOptionValue ( swapRate, volatility, optionMaturity, optionStrike, 1.0 ) ;
return valueCall(optionStrike, model, swapRate) - (swapRate-optionStrike); } protected double valueCall(final double optionStrike, final VolatilityCubeModel model, final double swapRate){ final double optionMaturity = getFixSchedule().getFixing(0); final double termination = getFixSchedule().getPayment(getFixSchedule().getNumberOfPeriods()-1); final double volatility = model.getVolatilityCube(getVolatilityCubeName()).getValue(model, termination, optionMaturity, optionStrike, quotingConvention); <extra_id_0> return value; } public Schedule getFixSchedule() { return fixSchedule; } public Schedule getFloatSchedule() {