net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant Maven / Gradle / Ivy

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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 02.02.2017
 */

package net.finmath.montecarlo.interestrate.models.covariance;

import net.finmath.time.TimeDiscretization;

/**
 * @author Christian Fries
 *
 * @version 1.0
 */
public class TermStructureTenorTimeScalingPicewiseConstant implements TermStructureTenorTimeScalingInterface {

	private final TimeDiscretization timeDiscretization;
	private final double timesIntegrated[];

	private final double floor = 0.1-1.0, cap = 10.0-1.0;
	private final double parameterScaling = 100.0;


	public TermStructureTenorTimeScalingPicewiseConstant(TimeDiscretization timeDiscretization, double[] parameters) {
		super();
		this.timeDiscretization = timeDiscretization;
		timesIntegrated = new double[timeDiscretization.getNumberOfTimes()];
		for(int timeIntervallIndex=0; timeIntervallIndex