Defaulting interpolation method to LOG_LINEAR_UNCORRECTED
@@ -170,7 +170,7 @@ public class LIBORMarketModelFromCovarianceModel extends AbstractProcessModel im
private Driftapproximation driftApproximationMethod = Driftapproximation.EULER;
private Measure measure = Measure.SPOT;
private StateSpace stateSpace = StateSpace.LOGNORMAL;
- private InterpolationMethod interpolationMethod = InterpolationMethod.LINEAR;//.LOG_LINEAR_UNCORRECTED;
+ private InterpolationMethod interpolationMethod = InterpolationMethod.LOG_LINEAR_UNCORRECTED;
private double liborCap = 1E5;
// This is a cache of the integrated covariance.
