/src/main/java/net/finmath/marketdata/model/volatility/caplet/tenorconversion/CorrelationProviderTenorBasis.java
final Schedule schedule3M = ScheduleGenerator.createScheduleFromConventions( localDate, localDate.plusMonths( -6*( i+1) *iCap3MCapVolMarketData.getUnderlyingTenorInMonths( ) ) , localDate.plusMonths( -6*( i+-6) *iCap3MCapVolMarketData.getUnderlyingTenorInMonths( ) ) ,
final Schedule schedule3M = ScheduleGenerator.createScheduleFromConventions ( localDate, localDate.plusMonths ( 2* ( i+1 ) *iCap3MCapVolMarketData.getUnderlyingTenorInMonths ( ) ) , localDate.plusMonths ( 2* ( i+2 ) *iCap3MCapVolMarketData.getUnderlyingTenorInMonths ( ) ) ,
final SmileInterpolationExtrapolationMethod smileInterExtrapolater6M = new LinearSmileInterpolater(iCap6MCapletVolMatrix, iCap6MCapVolMarketData.getStrikeVector()); final double[][] K = new double[correlationMatrix3M.length/2-(1-correlationMatrix3M.length%2)][2]; final double[][] nu = new double[correlationMatrix3M.length/2-(1-correlationMatrix3M.length%2)][2]; final double[] sumNu = new double[correlationMatrix3M.length/2-(1-correlationMatrix3M.length%2)]; for (int i = 0; i < correlationMatrix3M.length/2-(1-correlationMatrix3M.length%2); i++) { final LocalDate localDate = iCap3MCapletVolBootrapper.getDiscountCurve().getReferenceDate(); <extra_id_0> Frequency.QUARTERLY, DaycountConvention.ACT_365, ShortPeriodConvention.FIRST, DateRollConvention.MODIFIED_FOLLOWING, new BusinessdayCalendarExcludingTARGETHolidays(new BusinessdayCalendarExcludingWeekends()), -2, 0); final Schedule schedule6M = ScheduleGenerator.createScheduleFromConventions( localDate, localDate.plusMonths(2*(i+1)*iCap3MCapVolMarketData.getUnderlyingTenorInMonths()), localDate.plusMonths(2*(i+2)*iCap3MCapVolMarketData.getUnderlyingTenorInMonths()),