## Interface ShortRateVolatilityModel

• All Superinterfaces:
Serializable
All Known Subinterfaces:
ShortRateVolatilityModelCalibrateable, ShortRateVolatilityModelParametric
All Known Implementing Classes:
AbstractShortRateVolatilityModel, AbstractShortRateVolatilityModelParametric, ShortRateVolatilityModelAsGiven, ShortRateVolatilityModelHoLee, ShortRateVolatilityModelPiecewiseConstant

public interface ShortRateVolatilityModel
extends Serializable
Interface for piecewise constant short rate volatility models with piecewise constant instantaneous short rate volatility $$t \mapsto \sigma(t)$$ and piecewise constant short rate mean reversion speed $$t \mapsto a(t)$$.
Version:
1.0
Author:
Christian Fries
• ### Method Summary

All Methods
Modifier and Type Method Description
RandomVariable getMeanReversion​(int timeIndex)
Returns the value of $$a(t)$$ for $$t_{i} \leq t < t_{i+1}$$.
TimeDiscretization getTimeDiscretization()
Returns the time discretization $$\{ t_{i} \}$$ associated with the piecewise constant functions.
RandomVariable getVolatility​(int timeIndex)
Returns the value of $$\sigma(t)$$ for $$t_{i} \leq t < t_{i+1}$$.
• ### Method Detail

• #### getTimeDiscretization

TimeDiscretization getTimeDiscretization()
Returns the time discretization $$\{ t_{i} \}$$ associated with the piecewise constant functions.
Returns:
the time discretization $$\{ t_{i} \}$$
• #### getVolatility

RandomVariable getVolatility​(int timeIndex)
Returns the value of $$\sigma(t)$$ for $$t_{i} \leq t < t_{i+1}$$.
Parameters:
timeIndex - The index $$i$$.
Returns:
the value of $$\sigma(t)$$ for $$t_{i} \leq t < t_{i+1}$$
• #### getMeanReversion

RandomVariable getMeanReversion​(int timeIndex)
Returns the value of $$a(t)$$ for $$t_{i} \leq t < t_{i+1}$$.
Parameters:
timeIndex - The index $$i$$.
Returns:
the value of $$a(t)$$ for $$t_{i} \leq t < t_{i+1}$$