/src/main/java/net/finmath/montecarlo/assetderivativevaluation/MonteCarloMultiAssetBlackScholesModel.java
volatilities[underlyingIndex] = Math.sqrt( value) ;
volatilities[underlyingIndex] = Math.sqrt ( volatilitySquaredOfUnderlying ) ;
for(int underlyingIndex = 0; underlyingIndex<factorLoadings.length; underlyingIndex++) { double volatilitySquaredOfUnderlying = 0.0; for(int factorIndex = 0; factorIndex<factorLoadings[underlyingIndex].length; factorIndex++) { final double factorLoading = factorLoadings[underlyingIndex][factorIndex]; volatilitySquaredOfUnderlying += factorLoading*factorLoading; } <extra_id_0> } return volatilities; } public double[][] getCorrelations() { final double[] volatilities = getVolatilities(); final double[][] correlations = new double[factorLoadings.length][factorLoadings.length];