Class ShortRateVolatilityModelPiecewiseConstant

All Implemented Interfaces:
Serializable, ShortRateVolatilityModel, ShortRateVolatilityModelCalibrateable, ShortRateVolatilityModelParametric

public class ShortRateVolatilityModelPiecewiseConstant extends AbstractShortRateVolatilityModelParametric implements ShortRateVolatilityModel
Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.
Version:
1.0
Author:
Christian Fries
See Also: