finMath lib documentation
net.finmath.montecarlo.interestrate.modelplugins

## Class LIBORVolatilityModelTimeHomogenousPiecewiseConstant

• All Implemented Interfaces:
Serializable

public class LIBORVolatilityModelTimeHomogenousPiecewiseConstant
extends LIBORVolatilityModel
Implements a piecewise constant volatility model, where $$\sigma(t,T) = sigma_{i}$$ where $$i = \max \{ j : \tau_{j} \leq T-t \}$$ and $$\tau_{0}, \tau_{1}, \ldots, \tau_{n-1}$$ is a given time discretization.
Version:
1.0
Author:
Christian Fries
Serialized Form
• ### Constructor Detail

• #### LIBORVolatilityModelTimeHomogenousPiecewiseConstant

public LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretizationInterface timeDiscretization,
TimeDiscretizationInterface liborPeriodDiscretization,
TimeDiscretizationInterface timeToMaturityDiscretization,
double[] volatility)
Create a piecewise constant volatility model, where $$\sigma(t,T) = sigma_{i}$$ where $$i = \max \{ j : \tau_{j} \leq T-t \}$$ and $$\tau_{0}, \tau_{1}, \ldots, \tau_{n-1}$$ is a given time discretization.
Parameters:
timeDiscretization - The simulation time discretization tj.
liborPeriodDiscretization - The period time discretization Ti.
timeToMaturityDiscretization - The discretization $$\tau_{0}, \tau_{1}, \ldots, \tau_{n-1}$$ of the piecewise constant volatility function.
volatility - The values $$\sigma_{0}, \sigma_{1}, \ldots, \sigma_{n-1}$$ of the piecewise constant volatility function.