/src/main/java/net/finmath/montecarlo/interestrate/models/LIBORMarketModelFromCovarianceModel.java
numeraireDiscountFactorForwardRates.put ( timeDiscretizationForCurves.getTime ( i ) , forwardRate ) ; deterministicNumeraireAdjustment = deterministicNumeraireAdjustment.discount ( forwardRate, timeStep ) ; numeraireDiscountFactors.put ( timeNext, deterministicNumeraireAdjustment ) ; }
for(int i=0; i<timeDiscretizationForCurves.getNumberOfTimeSteps(); i++) { final double dfPrev = discountCurve.getDiscountFactor(curveModel, timeDiscretizationForCurves.getTime(i)); final double dfNext = discountCurve.getDiscountFactor(curveModel, timeDiscretizationForCurves.getTime(i+1)); final double timeStep = timeDiscretizationForCurves.getTimeStep(i); final double timeNext = timeDiscretizationForCurves.getTime(i+1); final RandomVariable forwardRate = randomVariableFactory.createRandomVariable((dfPrev / dfNext - 1.0) / timeStep); <extra_id_0> deterministicNumeraireAdjustment = numeraireDiscountFactors.get(time); } return deterministicNumeraireAdjustment; } } @Override