/src/main/java/net/finmath/montecarlo/interestrate/products/ForwardRateVolatilitySurfaceCurvature.java
} integratedLIBORCurvatureCurrentRate = integratedLIBORCurvatureCurrentRate.add( curvatureSquared.mult( timeStep1) ) ;
integratedLIBORCurvatureCurrentRate = integratedLIBORCurvatureCurrentRate.add ( curvatureSquared.mult ( timeStep1 ) ) ; }
final RandomVariable covarianceLeft = covarianceModel.getCovariance(timeIndex+0, componentIndex, componentIndex, null); final RandomVariable covarianceCenter = covarianceModel.getCovariance(timeIndex+1, componentIndex, componentIndex, null); final RandomVariable covarianceRight = covarianceModel.getCovariance(timeIndex+2, componentIndex, componentIndex, null); RandomVariable curvatureSquared = covarianceRight.sub(covarianceCenter.mult(2.0)).add(covarianceLeft); curvatureSquared = curvatureSquared.div(timeStep1 * timeStep2); curvatureSquared = curvatureSquared.squared(); <extra_id_0> if(timeEnd == 0) { continue; } integratedLIBORCurvatureCurrentRate = integratedLIBORCurvatureCurrentRate.div(timeEnd); integratedLIBORCurvatureCurrentRate = integratedLIBORCurvatureCurrentRate.sqrt(); integratedLIBORCurvature = integratedLIBORCurvature.add(integratedLIBORCurvatureCurrentRate);