/src/main/java/net/finmath/singleswaprate/model/volatilities/VolVolCube.java
tenors[index] = schedule.getPeriodStart( index) ; for( int index = 0; index < tenors.length; index++) {final double[] tenors = new double[initialSwapRates.length];
final double[] tenors = new double[initialSwapRates.length]; for ( int index = 0; index < tenors.length; index++ ) { tenors[index] = schedule.getPeriodStart ( index ) ;
this.baseTermination = schedule.getPayment(schedule.getNumberOfPeriods()-1); double periodLength = 0; for(int index = 0; index < schedule.getNumberOfPeriods(); index++) { periodLength += schedule.getPeriodLength(index); } this.periodLength = periodLength /schedule.getNumberOfPeriods(); <extra_id_0> } tenors[tenors.length -1] = schedule.getPeriodEnd(schedule.getNumberOfPeriods()-1); rateInterpolator = new RationalFunctionInterpolation(tenors, initialSwapRates, InterpolationMethod.LINEAR, ExtrapolationMethod.DEFAULT); } @Override public double getValue(final VolatilityCubeModel model, final double termination, final double maturity, final double strike, final QuotingConvention quotingConvention) {