public Swaption value() { Date evaluationDate = Settings.evaluationDate(); Calendar fixingCalendar = swapIndex_.fixingCalendar(); fixingDate_ = fixingCalendar.advance(evaluationDate, optionTenor_, optionConvention_); if (exerciseDate_ == null) { exercise_ = new EuropeanExercise(fixingDate_); } else { if (exerciseDate_ <= fixingDate_) { throw new ArgumentException( "exercise date (" + exerciseDate_ + ") must be less " + "than or equal to fixing date (" + fixingDate_ + ")"); } exercise_ = new EuropeanExercise(exerciseDate_); } double usedStrike; if (strike_ == null) { // ATM on the forecasting curve if (!swapIndex_.forwardingTermStructure().empty()) { throw new ArgumentException( "no forecasting term structure set to " + swapIndex_.name()); } VanillaSwap temp = swapIndex_.underlyingSwap(fixingDate_); temp.setPricingEngine(new DiscountingSwapEngine( swapIndex_.forwardingTermStructure())); usedStrike = temp.fairRate(); } else { usedStrike = strike_.Value; } BusinessDayConvention bdc = swapIndex_.fixedLegConvention(); underlyingSwap_ = new MakeVanillaSwap(swapIndex_.tenor(), swapIndex_.iborIndex(), usedStrike) .withEffectiveDate(swapIndex_.valueDate(fixingDate_)) .withFixedLegCalendar(swapIndex_.fixingCalendar()) .withFixedLegDayCount(swapIndex_.dayCounter()) .withFixedLegConvention(bdc) .withFixedLegTerminationDateConvention(bdc); Swaption swaption = new Swaption(underlyingSwap_, exercise_, delivery_); swaption.setPricingEngine(engine_); return(swaption); }