/src/main/java/net/finmath/marketdata/model/volatility/caplet/CapletVolBootstrapping.java
currentExpiryInMonths = capVolMarketData.getExpiryInMonths(((capVolMarketData.getRowIndex(currentExpiryInMonths)) + 1));
if ( capVolMarketData.getRowIndex ( currentExpiryInMonths ) +1 < capVolMarketData.getNumberOfExpiryDates ( ) ) { currentExpiryInMonths = capVolMarketData.getExpiryInMonths ( capVolMarketData.getRowIndex ( currentExpiryInMonths ) +1 ) ; }
for (int m = i; i - m < (currentExpiryInMonths-lastExpiryInMonths)/capVolMarketData.getUnderlyingTenorInMonths(); m--) { capletVolMatrix[m-1][j] = volaBestPoint; } } lastExpiryInMonths = currentExpiryInMonths; lastCaplet = i; <extra_id_0> } } return capletVolMatrix; } public double[][] calculateCapVolsFromCapletVols(final double[][] inputCapletVolMatrix) { final double[][] capVolMatrix = new double[capVolMarketData.getNumberOfExpiryDates()][capVolMarketData.getNumberOfStrikes()];