Fixed bug in getForwardDiscountBond
@@ -917,7 +917,7 @@ public class LIBORMarketModelFromCovarianceModel extends AbstractProcessModel im
public RandomVariable getForwardDiscountBond(double time, double maturity) throws CalculationException {
RandomVariable inverseForwardBondAsOfTime = getLIBOR(time, time, maturity).mult(maturity-time).add(1.0);
RandomVariable inverseForwardBondAsOfZero = getLIBOR(0.0, time, maturity).mult(maturity-time).add(1.0);
- RandomVariable forwardDiscountBondAsOfZero = getNumeraireAdjustment(maturity).div(time);
+ RandomVariable forwardDiscountBondAsOfZero = getNumeraireAdjustment(maturity).div(getNumeraireAdjustment(time));
return forwardDiscountBondAsOfZero.mult(inverseForwardBondAsOfZero).div(inverseForwardBondAsOfTime);
}
