/src/main/java/net/finmath/montecarlo/interestrate/models/covariance/LIBORCovarianceModelExponentialForm5Param.java
correlationModel = new LIBORCorrelationModelExponentialDecay( getLiborPeriodDiscretization( ) , getLiborPeriodDiscretization( ) , getNumberOfFactors( ) , parameter[4].doubleValue( ) , true) ;
correlationModel = new LIBORCorrelationModelExponentialDecay ( getLiborPeriodDiscretization ( ) , getLiborPeriodDiscretization ( ) , getNumberOfFactors ( ) , parameter[4].doubleValue ( ) , false ) ;
private LIBORVolatilityModel volatilityModel; private LIBORCorrelationModel correlationModel; public LIBORCovarianceModelExponentialForm5Param(final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final int numberOfFactors, final RandomVariable[] parameters) { super(timeDiscretization, liborPeriodDiscretization, numberOfFactors); parameter = parameters.clone(); volatilityModel = new LIBORVolatilityModelFourParameterExponentialForm(getTimeDiscretization(), getLiborPeriodDiscretization(), parameter[0], parameter[1], parameter[2], parameter[3], false); <extra_id_0> } public LIBORCovarianceModelExponentialForm5Param(final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final int numberOfFactors, final double[] parameters) { this(timeDiscretization, liborPeriodDiscretization, numberOfFactors, Scalar.arrayOf(parameters)); } public LIBORCovarianceModelExponentialForm5Param(final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final int numberOfFactors) { this(timeDiscretization, liborPeriodDiscretization, numberOfFactors, new double[] { 0.20, 0.05, 0.10, 0.20, 0.10});