/src/main/java/net/finmath/singleswaprate/Utils.java
values.add( AnalyticFormulas.bachelierOptionImpliedVolatility( parSwapRate, fixSchedule.getFixing( 0) , strike, optionValue) ) ;
values.add ( AnalyticFormulas.bachelierOptionImpliedVolatility ( parSwapRate, fixSchedule.getFixing ( 0 ) , strike, cashAnnuity, optionValue ) ) ;
final double cashAnnuity = cashFunction(parSwapRate, fixSchedule); final double optionValue = cashLattice.getValue(maturity, tenor, moneyness); maturities.add(maturity); tenors.add(tenor); if(isPayer) { moneynesss.add(moneyness); <extra_id_0> } else { moneynesss.add(-moneyness); values.add(AnalyticFormulas.bachelierOptionImpliedVolatility(parSwapRate, fixSchedule.getFixing(0), strike, cashAnnuity, optionValue + 0.0001 * moneyness * cashAnnuity)); } }