/src/main/java/net/finmath/montecarlo/interestrate/models/covariance/LIBORCovarianceModelFromVolatilityAndCorrelation.java
RandomVariable factorLoadingPseudoInverse = component.getVolatility( timeIndex, volatilityModel).invert( ).mult( correlationModel.getFactorLoading( timeIndex, factor, component) ) ;
RandomVariable factorLoadingPseudoInverse = volatilityModel.getVolatility ( timeIndex, component ) .invert ( ) .mult ( correlationModel.getFactorLoading ( timeIndex, factor, component ) ) ;
factorLoading[factorIndex] = volatility.mult(correlationModel.getFactorLoading(timeIndex, factorIndex, component)); } return factorLoading; } @Override public RandomVariable getFactorLoadingPseudoInverse(final int timeIndex, final int component, final int factor, final RandomVariable[] realizationAtTimeIndex) { <extra_id_0> final int numberOfComponents = getLiborPeriodDiscretization().getNumberOfTimeSteps(); double factorWeight = 0.0; for(int componentIndex=0; componentIndex<numberOfComponents; componentIndex++) { final double factorElement = correlationModel.getFactorLoading(timeIndex, factor, componentIndex); factorWeight += factorElement*factorElement; }