net.finmath.montecarlo.interestrate.models.covariance

Class AbstractShortRateVolatilityModel

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModel

All Implemented Interfaces:

Serializable, ShortRateVolatilityModel

Direct Known Subclasses:

AbstractShortRateVolatilityModelParametric

public abstract class AbstractShortRateVolatilityModel
extends Object
implements ShortRateVolatilityModel, Serializable

A base class and interface description for the instantaneous volatility of an short rate model.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
AbstractShortRateVolatilityModel(TimeDiscretization timeDiscretization) Constructor consuming time discretizations, which are handled by the super class.

Method Summary

Modifier and Type	Method and Description
TimeDiscretization	getTimeDiscretization() The simulation time discretization associated with this model.

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel

getMeanReversion, getVolatility

Constructor Detail

AbstractShortRateVolatilityModel

public AbstractShortRateVolatilityModel(TimeDiscretization timeDiscretization)

Constructor consuming time discretizations, which are handled by the super class.

Parameters:

timeDiscretization - The vector of simulation time discretization points.

Method Detail

getTimeDiscretization

public TimeDiscretization getTimeDiscretization()

The simulation time discretization associated with this model.

Specified by:

getTimeDiscretization in interface ShortRateVolatilityModel

Returns:

the timeDiscretizationFromArray