public FdmAffineModelSwapInnerValue(
ModelType disModel,
ModelType fwdModel,
VanillaSwap swap,
Dictionary <double, Date> exerciseDates,
FdmMesher mesher,
int direction)
{
disModel_ = disModel;
fwdModel_ = fwdModel;
mesher_ = mesher;
direction_ = direction;
swap_ = new VanillaSwap(swap.swapType,
swap.nominal,
swap.fixedSchedule(),
swap.fixedRate,
swap.fixedDayCount(),
swap.floatingSchedule(),
swap.iborIndex().clone(fwdTs_),
swap.spread,
swap.floatingDayCount(),
null);
exerciseDates_ = exerciseDates;
}