/src/main/java/net/finmath/montecarlo/interestrate/models/covariance/LIBORCovarianceModelExponentialForm5Param.java
parameter = parameters.clone ( ) ; volatilityModel = new LIBORVolatilityModelFourParameterExponentialForm ( getTimeDiscretization ( ) , getLiborPeriodDiscretization ( ) , parameter[0], parameter[1], parameter[2], parameter[3], false ) ;
private static final long serialVersionUID = -6538642489767323201L; private RandomVariable[] parameter = new RandomVariable[5]; private LIBORVolatilityModel volatilityModel; private LIBORCorrelationModel correlationModel; public LIBORCovarianceModelExponentialForm5Param(final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final int numberOfFactors, final RandomVariable[] parameters) { super(timeDiscretization, liborPeriodDiscretization, numberOfFactors); <extra_id_0> correlationModel = new LIBORCorrelationModelExponentialDecay(getLiborPeriodDiscretization(), getLiborPeriodDiscretization(), getNumberOfFactors(), parameter[4].doubleValue(), false); } public LIBORCovarianceModelExponentialForm5Param(final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final int numberOfFactors, final double[] parameters) { this(timeDiscretization, liborPeriodDiscretization, numberOfFactors, Scalar.arrayOf(parameters)); } public LIBORCovarianceModelExponentialForm5Param(final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final int numberOfFactors) {