public double [ ] getTenors ( double moneyness , double maturity ) { int maturityInMonths = ( int ) Math . round ( maturity * 12 ) ; int [ ] tenorsInMonths = getTenors ( convertMoneyness ( moneyness ) , maturityInMonths ) ; double [ ] tenors = new double [ tenorsInMonths . length ] ; for ( int index = 0 ; index < tenors . length ; index ++ ) { tenors [ index ] = convertTenor ( maturityInMonths , tenorsInMonths [ index ] ) ; } return tenors ; }
Return all valid tenors for a given moneyness and maturity . Uses the payment times of the fix schedule to determine fractions .