/src/main/java/net/finmath/montecarlo/interestrate/models/covariance/TermStructureTenorTimeScalingPicewiseConstant.java
timesIntegrated[timeIntervalIndex+1] = timesIntegrated[timeIntervalIndex] + ( 1.0+Math.min( Math.max( parameterScaling*parameters[timeIntervalIndex],cap) ,cap) ) * ( timeDiscretization.getTimeStep( timeIntervalIndex) ) ;
timesIntegrated[timeIntervalIndex+1] = timesIntegrated[timeIntervalIndex] + ( 1.0+Math.min ( Math.max ( parameterScaling*parameters[timeIntervalIndex],floor ) ,cap ) ) * ( timeDiscretization.getTimeStep ( timeIntervalIndex ) ) ;
private final double parameterScaling = 100.0; public TermStructureTenorTimeScalingPicewiseConstant(final TimeDiscretization timeDiscretization, final double[] parameters) { super(); this.timeDiscretization = timeDiscretization; timesIntegrated = new double[timeDiscretization.getNumberOfTimes()]; for(int timeIntervalIndex=0; timeIntervalIndex<timeDiscretization.getNumberOfTimeSteps(); timeIntervalIndex++) { <extra_id_0> } } @Override public double getScaledTenorTime(final double periodStart, final double periodEnd) { final double timeIntegratedStart; {