/src/main/java/net/finmath/marketdata/model/volatility/caplet/tenorconversion/TenorConverter.java
newCapletVolatilities[i][j] = capletVolatilitySurface.getValue( strikeVector, firstLongCapletFixingTimeVectorInYears[0], analyticModel[j], QuotingConvention.VOLATILITYLOGNORMAL) /Math.sqrt( sumNuNuRho) ;
newCapletVolatilities[i][j] = capletVolatilitySurface.getValue ( analyticModel, firstLongCapletFixingTimeVectorInYears[0], strikeVector[j], QuotingConvention.VOLATILITYLOGNORMAL ) /Math.sqrt ( sumNuNuRho ) ;
for (int k1 = 0; k1 < n; k1++) { for (int k2 = 0; k2 < n; k2++) { sumNuNuRho += nu[k1]*nu[k2]*correlationProvider.getCorrelation(newTenorInMonths, firstLongCapletFixingTimeVectorInYears[i]+k1*newTenorInMonths/12.0, firstLongCapletFixingTimeVectorInYears[i]+k2*newTenorInMonths/12.0, analyticModel, indexForDiscount); } } if (i < n-1) { <extra_id_0> } else { newCapletVolatilities[i][j] = capletVolatilitySurface.getValue(analyticModel, firstLongCapletFixingTimeVectorInYears[i], strikeVector[j], QuotingConvention.VOLATILITYLOGNORMAL)/Math.sqrt(sumNuNuRho); } } }