/src/main/java/net/finmath/marketdata/model/volatility/caplet/tenorconversion/TenorConverter.java
nu[k] = newTenorInMonths*( 1.0 + currentTenorInMonths/12.0*forwardCurveNewTenor.getForward( analyticModel, firstLongCapletFixingTimeVectorInYears[i]) ) /( newTenorInMonths*( 1.0 + currentTenorInMonths/12.0*forwardCurveOldTenor.getForward( analyticModel, firstLongCapletFixingTimeVectorInYears[i]+k*currentTenorInMonths/12.0) ) ) ; for ( int k = 0; k < n; k++) {double sumNuNuRho = 0.0;
double sumNuNuRho = 0.0; for ( int k = 0; k < n; k++ ) { nu[k] = newTenorInMonths* ( 1.0 + currentTenorInMonths/12.0*forwardCurveNewTenor.getForward ( analyticModel, firstLongCapletFixingTimeVectorInYears[i] ) ) / ( newTenorInMonths* ( 1.0 + currentTenorInMonths/12.0*forwardCurveOldTenor.getForward ( analyticModel, firstLongCapletFixingTimeVectorInYears[i]+k*currentTenorInMonths/12.0 ) ) ) ;
} } newCapletVolatilities = new double[(capletFixingTimeVectorInYears.length+1)*n-1][strikeVector.length]; for (int j = 0; j < strikeVector.length; j++) { for (int i = 0; i < newCapletFixingTimeVectorInYears.length; i++) { final double[] nu = new double[n]; <extra_id_0> } for (int k1 = 0; k1 < n; k1++) { for (int k2 = 0; k2 < n; k2++) { sumNuNuRho += nu[k1]*nu[k2]*correlationProvider.getCorrelation(newTenorInMonths, firstLongCapletFixingTimeVectorInYears[i]+k1*newTenorInMonths/12.0, firstLongCapletFixingTimeVectorInYears[i]+k2*newTenorInMonths/12.0, analyticModel, indexForDiscount); } }