Re-enabled correlation calibration.
(disabled for testing in last commits).
@@ -93,7 +93,7 @@ public class LIBORCovarianceModelFromVolatilityAndCorrelation extends AbstractLI
@Override
public RandomVariable[] getParameter() {
RandomVariable[] volatilityParameter = volatilityModel.getParameter();
- double[] correlationParameter = null; /// correlationModel.getParameter(); // Currently unsupported
+ RandomVariable[] correlationParameter = correlationModel.getParameter();
int parameterLength = 0;
parameterLength += volatilityParameter != null ? volatilityParameter.length : 0;
