final YieldAndDiscountCurve discountCurve = ycb.getCurve(caplets[i].getFundingCurveName());
final double fwd = caplets[i].accept(PRC, ycb);
final double t = caplets[i].getFixingTime();
// Vol is at fixing time, discounting from payment. This included the year fraction
final double df = discountCurve.getDiscountFactor(caplets[i].getPaymentTime()) * caplets[i].getPaymentYearFraction();
options[i] = new SimpleOptionData(fwd, caplets[i].getStrike(), t, df, caplets[i].isCap());
}
return options;
}