/src/main/java/net/finmath/montecarlo/interestrate/models/HullWhiteModelWithConstantCoeff.java
return ( 1-Math.exp( -meanReversion * ( maturity-theta) ) ) /meanReversion;
return ( 1-Math.exp ( -meanReversion * ( maturity-time ) ) ) /meanReversion;
final double B = getB(time,maturity); final double lnA = Math.log(discountCurveFromForwardCurve.getDiscountFactor(maturity)/discountCurveFromForwardCurve.getDiscountFactor(time)) + B * zeroRate - 0.5 * getShortRateConditionalVariance(0,time) * B * B; return Math.exp(lnA); } private double getB(final double time, final double maturity) { <extra_id_0> } public double getShortRateConditionalVariance(final double time, final double maturity) { return volatility*volatility * (1 - Math.exp(-2*meanReversion*(maturity-time))) / (2*meanReversion); } public double getIntegratedBondSquaredVolatility(final double time, final double maturity) { return getShortRateConditionalVariance(0, time) * getB(time,maturity) * getB(time,maturity);