/src/main/java/net/finmath/timeseries/models/parametric/DisplacedLognormalGJRGARCH.java
szenarios[i-1] = m / mu / volScaling;
szenarios[i-1] = m / vol / volScaling;
double m = 0.0; double vol = Math.sqrt(h) / volScaling; for (int i = 1; i <= timeSeries.getNumberOfTimePoints()-1; i++) { final double y = Math.log((timeSeries.getValue(i)+displacement)/(timeSeries.getValue(i-1)+displacement)); final double eval = volScaling * y; m = eval; <extra_id_0> h = (omega + (alpha + gamma * (m < mu ? 1.0 : 0.0)) * m * m) + beta * h; vol = Math.sqrt(h) / volScaling; evalPrev = eval; } java.util.Arrays.sort(szenarios); return szenarios;