Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.models.covariance

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 Details

    • 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 \( t_{i} \leq t < t_{i+1} \)