Fixed calculation of volatilities in getter.
@@ -314,7 +314,7 @@ public class MonteCarloMultiAssetBlackScholesModel extends AbstractProcessModel
double factorLoading = factorLoadings[underlyingIndex][factorIndex];
volatilitySquaredOfUnderlying += factorLoading*factorLoading;
}
- volatilities[underlyingIndex] = volatilitySquaredOfUnderlying;
+ volatilities[underlyingIndex] = Math.sqrt(volatilitySquaredOfUnderlying);
}
return volatilities;
}
