Added TODO on AAD.
@@ -70,6 +70,7 @@ public class LIBORCorrelationModelThreeParameterExponentialDecay extends LIBORCo
return this;
}
+ // TODO The model does not consider the parameters to be of type RandomVariable. This also breaks AAD w.r.t. these parameters.
return new LIBORCorrelationModelThreeParameterExponentialDecay(
getTimeDiscretization(),
getLiborPeriodDiscretization(),
