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 Summary

Modifier and Type	Method and 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 \( t_{i} \leq t < t_{i+1} \).

Method Detail

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