/src/main/java/net/finmath/montecarlo/interestrate/models/covariance/LIBORVolatilityModelFourParameterExponentialFormIntegrated.java
expA1 = expB1.choose( expA1, pA1) ;
expA1 = cCutOff1.choose ( expA1, pA1 ) ;
final RandomVariable pB1 = polynom(mcT2, coeffTaylorE1); final RandomVariable pB2 = polynom(mcT2, coeffTaylorE2); final RandomVariable pB3 = polynom(mcT2, coeffTaylorE3); final RandomVariable cCutOff1 = mcT.abs().sub(1E-12).choose(new Scalar(1.0), new Scalar(-1.0)); final RandomVariable cCutOff2 = mcT.abs().sub(1E-2).choose(new Scalar(1.0), new Scalar(-1.0)); final RandomVariable cCutOff3 = cCutOff2; <extra_id_0> expA2 = cCutOff2.choose(expA2, pA2); expB1 = cCutOff1.choose(expB1, pB1); expB2 = cCutOff2.choose(expB2, pB2); expB3 = cCutOff3.choose(expB3, pB3); integratedVariance = a*a*T*((1-Math.exp(-2*c*T))/(2*c*T)) + a*b*T*T*(((1 - Math.exp(-2*c*T))/(2*c*T) - Math.exp(-2*c*T))/(c*T))