/src/main/java/net/finmath/singleswaprate/data/ErrorEstimation.java
final double payerStrike = swapRate + moneyness / 10000.0; if( cashPayerPremiums.containsEntryFor( maturity, termination, moneyness) ) {for( final int moneyness : cashPayerPremiums.getMoneyness( ) ) {
for ( final int moneyness : cashPayerPremiums.getMoneyness ( ) ) { if ( cashPayerPremiums.containsEntryFor ( maturity, termination, moneyness ) ) { final double payerStrike = swapRate + moneyness / 10000.0;
final ArrayList<Double> modelCashPayer = new ArrayList<>(); final ArrayList<Double> modelCashReceiver = new ArrayList<>(); final Schedule fixSchedule = fixMetaSchedule.generateSchedule(referenceDate, maturity, termination); final Schedule floatSchedule = floatMetaSchedule.generateSchedule(referenceDate, maturity, termination); final double optionMaturity = fixSchedule.getFixing(0); final double swapRate = Swap.getForwardSwapRate(fixSchedule, floatSchedule, model.getForwardCurve(forwardCurveName), model); <extra_id_0> final CashSettledPayerSwaption payer = new CashSettledPayerSwaption(fixSchedule, floatSchedule, payerStrike, discountCurveName, forwardCurveName, volatilityCubeName, annuityMappingType, replicationLowerBound, replicationUpperBound, replicationNumberOfEvaluationPoints); marketCashPayer.add(cashPayerPremiums.getValue(maturity, termination, moneyness)); modelCashPayer.add(payer.getValue(optionMaturity, model)); }