Using period length in getForwardSwapRate.
@@ -155,7 +155,7 @@ public class Swap extends AbstractAnalyticProduct implements AnalyticProduct, De
double payment = floatSchedule.getPayment(periodIndex);
double periodLength = floatSchedule.getPeriodLength(periodIndex);
- double forward = forwardCurve.getForward(model, fixing); //, payment-fixing
+ double forward = forwardCurve.getForward(model, fixing, payment-fixing);
double discountFactor = discountCurve.getDiscountFactor(model, payment);
floatLeg += forward * periodLength * discountFactor;
