final double[] floorIbor = new double[] {0.0, 0.0, factor * strike};
final double[] capIbor = new double[] {0.0, 0.0, +50.0};
final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX_EURIBOR3M, IS_PAYER,
FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, INDEX_EURIBOR3M, IS_PAYER, strike, true, TARGET);
final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
final CapFloorIborLMMDDMethod methodCapLMM = new CapFloorIborLMMDDMethod();
final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_EURIBOR3M.getTenor(), TARGET, INDEX_EURIBOR3M.getDayCount(),
INDEX_EURIBOR3M.getBusinessDayConvention(), INDEX_EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER);
final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);