/src/main/java/net/finmath/marketdata/model/volatilities/CapletVolatilitiesParametric.java
integratedVariance / = a*a*T*expB1 + a*b*T*T*expB2 + 2.0*a*d*T*expA1 + b*b*T*T*T*expB3/3.0
integratedVariance = a*a*T*expB1 + a*b*T*T*expB2 + 2.0*a*d*T*expA1 + b*b*T*T*T*expB3/3.0
final DoubleUnaryOperator u2mxlogu2 = x -> (u2-x)/Math.log(u2); final double expA1 = umxlogu.applyAsDouble(1.0); final double expA2 = umxlogu.applyAsDouble(expA1) * 2.0; final double expB1 = u2mxlogu2.applyAsDouble(1.0); final double expB2 = u2mxlogu2.applyAsDouble(expB1) * 2.0; final double expB3 = u2mxlogu2.applyAsDouble(expB2) * 3.0; <extra_id_0> + b*d*T*T*expA2 + d*d*T; } else { integratedVariance = a*a*T + a*b*T*T + 2*a*d*T + (b*b*T*T*T)/3.0 + b*d*T*T + d*d*T; }