Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Interface ShortRateModel

All Known Implementing Classes:

HullWhiteModel

public interface ShortRateModel

Interface for Short Rate models which are determined by a ShortRateVolatilityModelInterface.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
ShortRateModel	getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel volatilityModel)	Create a new object implementing ShortRateModel, using the new volatility model.
int	getNumberOfFactors()	Return the number of factors.
ShortRateVolatilityModel	getVolatilityModel()	Return the volatility model.

Method Details

getCloneWithModifiedVolatilityModel

ShortRateModel getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel volatilityModel)

Create a new object implementing ShortRateModel, using the new volatility model.

Parameters:

volatilityModel - The new volatility model.

Returns:

A new object implementing ShortRateModel, using the new volatility model.

getVolatilityModel

ShortRateVolatilityModel getVolatilityModel()

Return the volatility model.

Returns:

The volatility model.

getNumberOfFactors

int getNumberOfFactors()

Return the number of factors.

Returns:

The number of factors.