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; }