/src/main/java/net/finmath/marketdata2/model/curves/DiscountCurveInterpolation.java
for( int timeIndex=9; timeIndex<tenor.getNumberOfTimeSteps( ) ;timeIndex++) {
for ( int timeIndex=1; timeIndex<tenor.getNumberOfTimeSteps ( ) ;timeIndex++ ) {
return createDiscountCurveFromDiscountFactors(name, referenceDate, times, givenDiscountFactors, isParameter, interpolationMethod, extrapolationMethod, interpolationEntity); } public static DiscountCurveInterface createDiscountFactorsFromForwardRates(final String name, final TimeDiscretization tenor, final RandomVariable [] forwardRates) { final DiscountCurveInterpolation discountFactors = new DiscountCurveInterpolation(name); RandomVariable df = forwardRates[0].mult(tenor.getTimeStep(0)).add(1.0).invert(); discountFactors.addDiscountFactor(tenor.getTime(1), df, tenor.getTime(1) > 0); <extra_id_0> df = df.div(forwardRates[timeIndex].mult(tenor.getTimeStep(timeIndex)).add(1.0)); discountFactors.addDiscountFactor(tenor.getTime(timeIndex+1), df, tenor.getTime(timeIndex+1) > 0); } return discountFactors; } public static DiscountCurveInterface createDiscountCurveFromMonteCarloLiborModel(final String forwardCurveName, final LIBORModelMonteCarloSimulationModel model, final double startTime) throws CalculationException{