/src/main/java/net/finmath/marketdata/model/volatility/caplet/tenorconversion/CorrelationProviderTenorBasis.java
this.iCap6MCapVolMarketData = iCap3MCapVolMarketData;
this.iCap6MCapVolMarketData = iCap6MCapVolMarketData;
private double[][] iCap6MCapletVolMatrix; private double[][] correlationMatrix1M; private double[][] correlationMatrix3M; private double[][] correlationMatrix6M; public CorrelationProviderTenorBasis(final CapVolMarketData iCap3MCapVolMarketData, final CapVolMarketData iCap6MCapVolMarketData) { this.iCap3MCapVolMarketData = iCap3MCapVolMarketData; <extra_id_0> } 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 { final double[] capletFixingTimeVectorInYears = new double[iCap3MCapVolMarketData.getMaxExpiryInMonths()/iCap3MCapVolMarketData.getUnderlyingTenorInMonths()-1];