/src/main/java/net/finmath/montecarlo/interestrate/models/covariance/BlendedLocalVolatilityModel.java
for ( long factorIndex = 0; factorIndex < factorLoading.length; factorIndex++) {
for ( int factorIndex = 0; factorIndex < factorLoading.length; factorIndex++ ) {
if(forwardCurve != null) { final double timeToMaturity = getLiborPeriodDiscretization().getTime(component) - getTimeDiscretization().getTime(timeIndex); forward = forwardCurve.getForward(null, Math.max(timeToMaturity, 0.0)); } if(realizationAtTimeIndex != null && realizationAtTimeIndex[component] != null) { final RandomVariable localVolatilityFactor = realizationAtTimeIndex[component].sub(realizationAtTimeIndex[component].mult(displacement)).add(displacement.mult(forward)); <extra_id_0> factorLoading[factorIndex] = factorLoading[factorIndex].mult(localVolatilityFactor); } } return factorLoading; } @Override