/src/main/java/net/finmath/montecarlo/interestrate/products/SwaprateCovarianceAnalyticApproximation.java
} }return new RandomVariableFromDoubleArray( evaluationTime, integratedSwapRateCovariance) ;
return new RandomVariableFromDoubleArray ( evaluationTime, integratedSwapRateCovariance ) ; } }
double integratedSwapRateCovariance = 0.0; for(int componentIndex1 = swapStartIndex1; componentIndex1 < swapEndIndex1; componentIndex1++) { for(int componentIndex2 = swapStartIndex2; componentIndex2 < swapEndIndex2; componentIndex2++) { integratedSwapRateCovariance += swapCovarianceWeights1[componentIndex1-swapStartIndex1] * swapCovarianceWeights2[componentIndex2-swapStartIndex2] * integratedLIBORCovariance[componentIndex1][componentIndex2]; } } <extra_id_0>