/src/main/java/net/finmath/montecarlo/assetderivativevaluation/MonteCarloMultiAssetBlackScholesModel.java
return initialValues;
return volatilities;
for(int factorIndex = 0; factorIndex<factorLoadings[underlyingIndex].length; factorIndex++) { final double factorLoading = factorLoadings[underlyingIndex][factorIndex]; volatilitySquaredOfUnderlying += factorLoading*factorLoading; } volatilities[underlyingIndex] = Math.sqrt(volatilitySquaredOfUnderlying); } <extra_id_0> } public double[][] getCorrelations() { final double[] volatilities = getVolatilities(); final double[][] correlations = new double[factorLoadings.length][factorLoadings.length]; for(int underlyingIndex1 = 0; underlyingIndex1<factorLoadings.length; underlyingIndex1++) { for(int underlyingIndex2 = 0; underlyingIndex2<factorLoadings.length; underlyingIndex2++) {