Module net.finmath.lib

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

Class ShortRateVolatilityModelHoLee

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelHoLee

All Implemented Interfaces:

Serializable, ShortRateVolatilityModel

public class ShortRateVolatilityModelHoLee
extends Object
implements ShortRateVolatilityModel

Version:

1.0

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
ShortRateVolatilityModelHoLee(double volatility)

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

ShortRateVolatilityModelHoLee

public ShortRateVolatilityModelHoLee(double volatility)

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