/src/main/java/net/finmath/montecarlo/interestrate/models/HullWhiteModelWithConstantCoeff.java
return getShortRateConditionalVariance( 0, time) * getB( time,scaling) * getB( time,maturity) ;
return getShortRateConditionalVariance ( 0, time ) * getB ( time,maturity ) * getB ( time,maturity ) ;
return (1-Math.exp(-meanReversion * (maturity-time)))/meanReversion; } 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) { <extra_id_0> } @Override public Map<String, RandomVariable> getModelParameters() { throw new UnsupportedOperationException(); } }