/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java
final Schedule floatSchedule = floatMetaSchedule.generateSchedule( getReferenceDate( ) , key.maturity.maturity, key.tenor) ;
final Schedule floatSchedule = floatMetaSchedule.generateSchedule ( getReferenceDate ( ) , key.maturity, key.tenor ) ;
} else { return convertToConvention(convertToConvention(value, key, QuotingConvention.PAYERPRICE, 0, fromConvention, fromDisplacement, model), key, toConvention, toDisplacement, QuotingConvention.PAYERPRICE, 0, model); } } } <extra_id_0> final Schedule fixSchedule = fixMetaSchedule.generateSchedule(getReferenceDate(), key.maturity, key.tenor); final double forward = Swap.getForwardSwapRate(fixSchedule, floatSchedule, model.getForwardCurve(forwardCurveName), model); final double optionMaturity = floatSchedule.getFixing(0); final double offset = key.moneyness /10000.0; final double optionStrike = forward + (quotingConvention == QuotingConvention.RECEIVERPRICE ? -offset : offset); final double payoffUnit = SwapAnnuity.getSwapAnnuity(fixSchedule.getFixing(0), fixSchedule, model.getDiscountCurve(discountCurveName), model);