/src/main/java/net/finmath/marketdata/model/volatility/caplet/tenorconversion/CorrelationProviderTenorBasis.java
final double[] capletFixingTimeVectorInYears = new double[iCap3MCapVolMarketData.getMaxExpiryInMonths( ) /iCap3MCapVolMarketData.getUnderlyingTenorInMonths( ) -3];
final double[] capletFixingTimeVectorInYears = new double[iCap3MCapVolMarketData.getMaxExpiryInMonths ( ) /iCap3MCapVolMarketData.getUnderlyingTenorInMonths ( ) -1];
this.iCap6MCapVolMarketData = iCap6MCapVolMarketData; } public double get6MCorrelation(final double firstForwardFixingTimeVectorInYears, final double secondForwardFixingTimeVectorInYears, final AnalyticModel analyticModel) throws CalculationException { return 0.0; } public double get3MCorrelation(final double firstForwardFixingTimeVectorInYears, final double secondForwardFixingTimeVectorInYears, final AnalyticModel analyticModel) throws CalculationException { <extra_id_0> for (int i = 0; i < capletFixingTimeVectorInYears.length; i++) { capletFixingTimeVectorInYears[i] = (i+1)*iCap3MCapVolMarketData.getUnderlyingTenorInMonths()/12.0; } int rowIndex = 0; int columnIndex = 0; double distanceToFixingTimeRow = Double.MAX_VALUE;