Changed model parameters to forward rate and discount factor.
@@ -870,12 +870,14 @@ public class LIBORMarketModelFromCovarianceModel extends AbstractProcessModel im
if(deterministicNumeraireAdjustment == null) {
// This includes a control for zero bonds
- deterministicNumeraireAdjustment = randomVariableFactory.createRandomVariable(numeraire.invert().getAverage() / discountCurve.getDiscountFactor(curveModel, time));
+// deterministicNumeraireAdjustment = randomVariableFactory.createRandomVariable(numeraire.invert().getAverage() / discountCurve.getDiscountFactor(curveModel, time));
+ deterministicNumeraireAdjustment = randomVariableFactory.createRandomVariable(discountCurve.getDiscountFactor(curveModel, time));
+// deterministicNumeraireAdjustment = numeraire.invert().div(discountCurve.getDiscountFactor(curveModel, time));
numeraireAdjustments.put(time, deterministicNumeraireAdjustment);
}
- numeraire = numeraire.mult(deterministicNumeraireAdjustment);
+ numeraire = numeraire.mult(numeraire.invert().average().div(deterministicNumeraireAdjustment));
}
}
return numeraire;
