/src/main/java/net/finmath/marketdata/model/volatility/caplet/CapletVolBootstrapping.java
switch ( capVolMarketDataBeforeChange.getUnderlyingTenorInMonthsBeforeChange( ) ) {
switch ( capVolMarketData.getUnderlyingTenorInMonths ( ) ) {
final double[][] capVolMatrix = new double[capVolMarketData.getNumberOfExpiryDates()][capVolMarketData.getNumberOfStrikes()]; final double[] capletFixingTimeVectorInYears = new double[capVolMarketData.getMaxExpiryInMonths()/capVolMarketData.getUnderlyingTenorInMonths()-1]; for (int i = 0; i < capletFixingTimeVectorInYears.length; i++) { capletFixingTimeVectorInYears[i] = (i+1)*capVolMarketData.getUnderlyingTenorInMonths()/12.0; } Frequency frequency = null; <extra_id_0> case 1: frequency = Frequency.MONTHLY; break; case 3: frequency = Frequency.QUARTERLY; break;