net.finmath.montecarlo.interestrate.modelplugins

Class ShortRateVolatilityModel

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModel

All Implemented Interfaces:

ShortRateVolailityModelInterface

public class ShortRateVolatilityModel
extends Object
implements ShortRateVolailityModelInterface

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
ShortRateVolatilityModel(TimeDiscretizationInterface timeDiscretization, double[] volatility, double[] meanReversion)

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

ShortRateVolatilityModel

public ShortRateVolatilityModel(TimeDiscretizationInterface timeDiscretization,
                                double[] volatility,
                                double[] meanReversion)

Method Detail

getTimeDiscretization

public TimeDiscretizationInterface getTimeDiscretization()

Description copied from interface: ShortRateVolailityModelInterface

Returns the time discretization \( \{ t_{i} \} \) associated with the piecewise constant functions.

Specified by:

getTimeDiscretization in interface ShortRateVolailityModelInterface

Returns:

the time discretization \( \{ t_{i} \} \)

getVolatility

public double getVolatility(int timeIndex)

Description copied from interface: ShortRateVolailityModelInterface

Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).

Specified by:

getVolatility in interface ShortRateVolailityModelInterface

Parameters:

timeIndex - The index \( i \).

Returns:

the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \)

getMeanReversion

public double getMeanReversion(int timeIndex)

Description copied from interface: ShortRateVolailityModelInterface

Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).

Specified by:

getMeanReversion in interface ShortRateVolailityModelInterface

Parameters:

timeIndex - The index \( i \).

Returns:

the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \)