public static double Swaption(double N, double K, string Start, string SwapTenor, bool isPayer, double sigma, IRateCurve Curve)
{
Date refDate = Curve.RefDate(); // curve ref date
// false/true with fwd swap matrix
Date startDate = refDate.add_period(Start, false); // swap start 2 business days after the expiry
Date expDate = startDate.add_workdays(-2); // expiry of swaption
Date today = refDate.add_workdays(-2);
double T = today.YF_365(expDate);
Period p = new Period(SwapTenor); // should be in year 1Y, 2Y (not 3m,...)
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(startDate, 0, SwapTenor, Curve.GetSwapStyle().buildingBlockType);
double[] yf = y.scheduleLeg1.GetYFVect(Dc._30_360);
double[] df = (from payDay in y.scheduleLeg1.payDates
select Curve.Df(payDay)).ToArray();
return(Swaption(N, Curve.SwapFwd(startDate, SwapTenor), K, sigma, T, isPayer, yf, df));
}