use .discount(RV, rate)
@@ -1151,8 +1151,9 @@ public class LIBORMarketModel extends AbstractModel implements LIBORMarketModelI
if(lowerIndex < 0) {
throw new IllegalArgumentException("Numeraire requested for time " + time + ". Unsupported");
}
- unAdjustedNumeraire = getUnAdjustedNumeraire(getLiborPeriod(upperIndex)).div(
- getLIBOR(time, time, getLiborPeriod(upperIndex)).mult(getLiborPeriod(upperIndex) - time).add(1.0) );
+ unAdjustedNumeraire = getUnAdjustedNumeraire(getLiborPeriod(upperIndex))
+ .discount(getLIBOR(time, time, getLiborPeriod(upperIndex)), getLiborPeriod(upperIndex) - time);
+
}
/*
* Calculate the numeraire, when time is part of liborPeriodDiscretization
