net.finmath.montecarlo.interestrate.models.covariance

Interface ShortRateVolatilityModelParametric

All Superinterfaces:

Serializable, ShortRateVolatilityModel

All Known Implementing Classes:

AbstractShortRateVolatilityModelParametric, ShortRateVolatilityModelPiecewiseConstant

public interface ShortRateVolatilityModelParametric
extends ShortRateVolatilityModel

Interface for short rate volatility models which are determined by a vector of parameter.

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
ShortRateVolatilityModelParametric	getCloneWithModifiedParameters(double[] parameters) Return an instance of this model using a new set of parameters.
ShortRateVolatilityModelParametric	getCloneWithModifiedParameters(RandomVariable[] parameters) Return an instance of this model using a new set of parameters.
RandomVariable[]	getParameter() Get the parameters of determining this parametric volatility model.
double[]	getParameterAsDouble() Get the parameters of determining this parametric volatility model.

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

getMeanReversion, getTimeDiscretization, getVolatility

Method Detail

getParameter

RandomVariable[] getParameter()

Get the parameters of determining this parametric volatility model. The parameters are usually free parameters which may be used in calibration.

Returns:

Parameter vector.

getCloneWithModifiedParameters

ShortRateVolatilityModelParametric getCloneWithModifiedParameters(RandomVariable[] parameters)

Return an instance of this model using a new set of parameters. Note: To improve performance it is admissible to return the same instance of the object given that the parameters have not changed. Models should be immutable.

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractShortRateVolatilityModel with modified parameters.

getParameterAsDouble

double[] getParameterAsDouble()

Get the parameters of determining this parametric volatility model. The parameters are usually free parameters which may be used in calibration.

Returns:

Parameter vector.

getCloneWithModifiedParameters

ShortRateVolatilityModelParametric getCloneWithModifiedParameters(double[] parameters)

Return an instance of this model using a new set of parameters. Note: To improve performance it is admissible to return the same instance of the object given that the parameters have not changed. Models should be immutable.

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractShortRateVolatilityModel with modified parameters.