/src/main/java/net/finmath/montecarlo/interestrate/models/covariance/LIBORCovarianceModelExponentialForm7Param.java
TimeDiscretization liborPeriodDiscretization = this.getLiborPeriodDiscretization( ) ;super( timeDiscretization, liborPeriodDiscretization, numberOfFactors) ;
super ( timeDiscretization, liborPeriodDiscretization, numberOfFactors ) ;
public class LIBORCovarianceModelExponentialForm7Param extends AbstractLIBORCovarianceModelParametric { private static final long serialVersionUID = -7980504204664006566L; private double[] parameter = new double[7]; private LIBORVolatilityModelMaturityDependentFourParameterExponentialForm volatilityModel; private LIBORCorrelationModelThreeParameterExponentialDecay correlationModel; public LIBORCovarianceModelExponentialForm7Param(final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final int numberOfFactors) { <extra_id_0> parameter[0] = 0.1; parameter[1] = 0.1; parameter[2] = 0.1; parameter[3] = 0.2; parameter[4] = 0.1; parameter[5] = 0.1;