net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelAsGiven

public class ShortRateVolatilityModelAsGiven
extends Object
implements ShortRateVolatilityModel

A short rate volatility model from given volatility and mean reversion. Note that his model does not implement ShortRateVolatilityModelParametric and ShortRateVolatilityModelCalibrateable. If you require a calibration use ShortRateVolatilityModelPiecewiseConstant instead.

Method Summary

Modifier and Type	Method	Description
`RandomVariable`	`getMeanReversion(int timeIndex)`	Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).
`TimeDiscretization`	`getTimeDiscretization()`	Returns the time discretization \( \{ t_{i} \} \) associated with the piecewise constant functions.
`RandomVariable`	`getVolatility(int timeIndex)`	Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).

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

Constructor Details
- ShortRateVolatilityModelAsGiven
  
  public ShortRateVolatilityModelAsGiven(TimeDiscretization timeDiscretization, double[] volatility, double[] meanReversion)
Method Details
- getTimeDiscretization
  
  public TimeDiscretization getTimeDiscretization()
  
  Description copied from interface: ShortRateVolatilityModel
  
  Returns the time discretization \( \{ t_{i} \} \) associated with the piecewise constant functions.
  
  Specified by:
  
  getTimeDiscretization in interface ShortRateVolatilityModel
  
  Returns:
  
  the time discretization \( \{ t_{i} \} \)
- getVolatility
  
  public RandomVariable getVolatility(int timeIndex)
  
  Description copied from interface: ShortRateVolatilityModel
  
  Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).
  
  Specified by:
  
  getVolatility in interface ShortRateVolatilityModel
  
  Parameters:
  
  timeIndex - The index \( i \).
  
  Returns:
  
  the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \)
- getMeanReversion
  
  public RandomVariable getMeanReversion(int timeIndex)
  
  Description copied from interface: ShortRateVolatilityModel
  
  Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).
  
  Specified by:
  
  getMeanReversion in interface ShortRateVolatilityModel
  
  Parameters:
  
  timeIndex - The index \( i \).
  
  Returns:
  
  the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \)

Class ShortRateVolatilityModelAsGiven