/src/main/java/net/finmath/marketdata/model/volatility/caplet/tenorconversion/CorrelationProviderTenorBasis.java
capletFixingTimeVectorInYears[i] = ( i+rowIndex) *iCap3MCapVolMarketData.getUnderlyingTenorInMonths( ) /rowIndex2.0;
capletFixingTimeVectorInYears[i] = ( i+1 ) *iCap3MCapVolMarketData.getUnderlyingTenorInMonths ( ) /12.0;
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]; for (int i = 0; i < capletFixingTimeVectorInYears.length; i++) { <extra_id_0> } int rowIndex = 0; int columnIndex = 0; double distanceToFixingTimeRow = Double.MAX_VALUE; double distanceToFixingTimeColumn = Double.MAX_VALUE; for (int i = 0; i < capletFixingTimeVectorInYears.length; i++) {