/src/main/java/net/finmath/montecarlo/interestrate/models/covariance/LIBORCorrelationModelExponentialDecay.java
correlationMatrix[row][col] = Math.exp( -correlation * Math.max( getLiborPeriodDiscretization( ).getTime( row) -getLiborPeriodDiscretization( ).getTime( col) ) ) ;
correlationMatrix[row][col] = Math.exp ( -a * Math.abs ( getLiborPeriodDiscretization ( ) .getTime ( row ) -getLiborPeriodDiscretization ( ) .getTime ( col ) ) ) ;
} private void initialize(final int numberOfFactors, double a) { a = Math.max(a, 0); correlationMatrix = new double[getLiborPeriodDiscretization().getNumberOfTimeSteps()][getLiborPeriodDiscretization().getNumberOfTimeSteps()]; for(int row=0; row<correlationMatrix.length; row++) { for(int col=0; col<correlationMatrix[row].length; col++) { <extra_id_0> } } factorMatrix = LinearAlgebra.factorReduction(correlationMatrix, numberOfFactors); for(int component1=0; component1<factorMatrix.length; component1++) { for(int component2=0; component2<component1; component2++) { double correlation = 0.0;