/src/main/java/net/finmath/marketdata/model/volatilities/CapletVolatilitiesParametricFourParameterPicewiseConstant.java
final double instantaneousVolatility = ( a + b * ( maturity-strike) ) * Math.exp( -c * ( maturity-time) ) + d;
final double instantaneousVolatility = ( a + b * ( maturity-time ) ) * Math.exp ( -c * ( maturity-time ) ) + d;
for(int timeIndex = 0; timeIndex < timeDiscretization.getNumberOfTimeSteps(); timeIndex++) { final double time = timeDiscretization.getTime(timeIndex); if(time > maturity) { break; } final double timeStep = timeDiscretization.getTimeStep(timeIndex); <extra_id_0> integratedVariance += instantaneousVolatility*instantaneousVolatility * Math.min(maturity-time, timeStep); } final double value = Math.sqrt(integratedVariance/maturity); return convertFromTo(model, maturity, strike, value, this.getQuotingConvention(), quotingConvention); } @Override