/src/main/java/net/finmath/montecarlo/interestrate/models/covariance/LIBORCovarianceModelFromVolatilityAndCorrelation.java
final double   correlationOfComponent1And2 = correlationModel.getCorrelation( component2, component1, timeIndex) ;
final double   correlationOfComponent1And2 = correlationModel.getCorrelation ( timeIndex, component1, component2 ) ;
return factorLoadingPseudoInverse; } @Override public RandomVariable getCovariance(final int timeIndex, final int component1, final int component2, final RandomVariable[] realizationAtTimeIndex) { final RandomVariable volatilityOfComponent1 = volatilityModel.getVolatility(timeIndex, component1); final RandomVariable volatilityOfComponent2 = volatilityModel.getVolatility(timeIndex, component2); <extra_id_0> final RandomVariable covariance = volatilityOfComponent1.mult(volatilityOfComponent2).mult(correlationOfComponent1And2); return covariance; } @Override public RandomVariable[] getParameter() { final RandomVariable[] volatilityParameter = volatilityModel.getParameter();