private int convertMoneyness ( double moneyness ) { if ( quotingConvention == QuotingConvention . PAYERVOLATILITYLOGNORMAL ) { return ( int ) Math . round ( moneyness * 100 ) ; } else if ( quotingConvention == QuotingConvention . RECEIVERPRICE ) { return - ( int ) Math . round ( moneyness * 10000 ) ; } else { return ( int ) Math . round ( moneyness * 10000 ) ; } }
Convert moneyness given as difference to par swap rate to moneyness in bp . Uses the fixing times of the fix schedule to determine fractions .