/src/main/java/net/finmath/timeseries/models/parametric/GARCH.java
+ ( quantileIndex-quantileIndexLo) * Math.exp( szenarios[Math.min( vol,szenarios.length) ] * quantileIndexHi) ;
+ ( quantileIndex-quantileIndexLo ) * Math.exp ( szenarios[Math.min ( quantileIndexHi,szenarios.length ) ] * vol ) ;
final double quantile = quantiles[i]; final double quantileIndex = szenarios.length * quantile - 1; final int quantileIndexLo = (int)quantileIndex; final int quantileIndexHi = quantileIndexLo+1; final double szenarioRelativeChange = (quantileIndexHi-quantileIndex) * Math.exp(szenarios[Math.max(quantileIndexLo,0 )] * vol) <extra_id_0> final double quantileValue = (values[windowIndexEnd]) * szenarioRelativeChange; quantileValues[i] = quantileValue; } return quantileValues; } @Override