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

Interface ShortRateVolailityModelInterface

• All Known Implementing Classes:
ShortRateVolatilityModel, ShortRateVolatilityModelHoLee

public interface ShortRateVolailityModelInterface
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 $$t \mapsto a(t)$$.
Author:
Christian Fries
• Method Summary

All Methods
Modifier and Type Method and Description
double getMeanReversion(int timeIndex)
Returns the value of $$a(t)$$ for $$t_{i} \leq t < t_{i+1}$$.
TimeDiscretizationInterface getTimeDiscretization()
Returns the time discretization $$\{ t_{i} \}$$ associated with the piecewise constant functions.
double getVolatility(int timeIndex)
Returns the value of $$\sigma(t)$$ for $$t_{i} \leq t < t_{i+1}$$.
• Method Detail

• getTimeDiscretization

TimeDiscretizationInterface getTimeDiscretization()
Returns the time discretization $$\{ t_{i} \}$$ associated with the piecewise constant functions.
Returns:
the time discretization $$\{ t_{i} \}$$
• getVolatility

double 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

double 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 $$t_{i} \leq t < t_{i+1}$$