/src/main/java/net/finmath/montecarlo/interestrate/simple/SimpleLIBORMarketModel.java
/ ( 1 + periodLength * liborAtStartOfPeriod.get( numberOfPaths) )) / Math.log( liborAtEndOfPeriod.get( path) / liborAtStartOfPeriod.get( path) ) ;
/ ( 1 + periodLength * liborAtStartOfPeriod.get ( path ) ) ) / Math.log ( liborAtEndOfPeriod.get ( path ) / liborAtStartOfPeriod.get ( path ) ) ;
final RandomVariable liborAtStartOfPeriod = liborVectorStart[liborIndex]; final RandomVariable liborAtEndOfPeriod = liborVectorEnd[liborIndex]; final RandomVariable covariance = covarianceModel.getCovariance(timeIndex, componentIndex, liborIndex, null); for(int path=0; path<drift.length; path++) { drift[path] -= covariance.get(path) * Math.log( (1 + periodLength * liborAtEndOfPeriod.get(path)) <extra_id_0> } } return drift; } public Measure getMeasure() { return measure;