/src/main/java/net/finmath/marketdata/model/volatilities/CapletVolatilitiesParametricFourParameterPicewiseConstant.java
final double time = timeDiscretization.getTime( timeIndex) ; for( int timeIndex = 0; timeIndex < timeDiscretization.getNumberOfTimeSteps( ) ; timeIndex++) {
for ( int timeIndex = 0; timeIndex < timeDiscretization.getNumberOfTimeSteps ( ) ; timeIndex++ ) { final double time = timeDiscretization.getTime ( timeIndex ) ;
@Override public double getValue(final AnalyticModel model, final double maturity, final double strike, final QuotingConvention quotingConvention) { if(maturity == 0) { return 0; } double integratedVariance = 0.0; <extra_id_0> if(time > maturity) { break; } 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);