Module net.finmath.lib

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

Class ShortRateVolatilityModelAsGiven

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelAsGiven

All Implemented Interfaces:

Serializable, ShortRateVolatilityModel

public class ShortRateVolatilityModelAsGiven
extends Object
implements ShortRateVolatilityModel

A short rate volatility model from given volatility and mean reversion. Note that his model does not implement ShortRateVolatilityModelParametric and ShortRateVolatilityModelCalibrateable. If you require a calibration use ShortRateVolatilityModelPiecewiseConstant instead.

Version:

1.0

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
ShortRateVolatilityModelAsGiven(TimeDiscretization timeDiscretization, double[] volatility, double[] meanReversion)

Method Summary

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 \( t_{i} \leq t < t_{i+1} \).

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

ShortRateVolatilityModelAsGiven

public ShortRateVolatilityModelAsGiven(TimeDiscretization timeDiscretization,
 double[] volatility,
 double[] meanReversion)

Method Details

getTimeDiscretization

public TimeDiscretization getTimeDiscretization()

Description copied from interface: ShortRateVolatilityModel

Returns the time discretization \( \{ t_{i} \} \) associated with the piecewise constant functions.

Specified by:

getTimeDiscretization in interface ShortRateVolatilityModel

Returns:

the time discretization \( \{ t_{i} \} \)

getVolatility

public RandomVariable getVolatility(int timeIndex)

Description copied from interface: ShortRateVolatilityModel

Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).

Specified by:

getVolatility in interface ShortRateVolatilityModel

Parameters:

timeIndex - The index \( i \).

Returns:

the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \)

getMeanReversion

public RandomVariable getMeanReversion(int timeIndex)

Description copied from interface: ShortRateVolatilityModel

Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).

Specified by:

getMeanReversion in interface ShortRateVolatilityModel

Parameters:

timeIndex - The index \( i \).

Returns:

the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \)