/src/main/java/net/finmath/marketdata/model/volatilities/CapletVolatilitiesParametricFourParameterPicewiseConstant.java
} return convertFromTo( model, maturity, strike, value, this.getQuotingConvention( ) , quotingConvention) ;
return convertFromTo ( model, maturity, strike, value, this.getQuotingConvention ( ) , quotingConvention ) ; }
} final double timeStep = timeDiscretization.getTimeStep(timeIndex); final double instantaneousVolatility = (a + b * (maturity-time)) * Math.exp(-c * (maturity-time)) + d; integratedVariance += instantaneousVolatility*instantaneousVolatility * Math.min(maturity-time, timeStep); } final double value = Math.sqrt(integratedVariance/maturity); <extra_id_0> @Override public double[] getParameter() { final double[] parameter = new double[4]; parameter[0] = a; parameter[1] = b; parameter[2] = c;