Adjusting cap and floor
@@ -19,7 +19,7 @@ public class TermStructureTenorTimeScalingPicewiseConstant implements TermStruct
private final TimeDiscretizationInterface timeDiscretization;
private final double timesIntegrated[];
- private final double floor = 0.01-1.0, cap = 100.0-1.0;
+ private final double floor = 0.1-1.0, cap = 10.0-1.0;
private final double parameterScaling = 100.0;
