Default values for riskFreeRate and discountRate
@@ -112,10 +112,10 @@ public class MertonModel extends AbstractProcessModel {
this.initialValue = initialValue;
this.discountCurveForForwardRate = discountCurveForForwardRate;
- this.riskFreeRate = 0.0;
+ this.riskFreeRate = Double.NaN;;
this.volatility = volatility;
this.discountCurveForDiscountRate = discountCurveForDiscountRate;
- this.discountRate = 0.0;
+ this.discountRate = Double.NaN;
this.jumpIntensity = jumpIntensity;
this.jumpSizeMean = jumpSizeMean;
jumpSizeStdDev = jumpSizeStDev;
