ShortRateVolatilityModel (finmath lib 5.0.4 API)

All Superinterfaces:

Serializable

All Known Subinterfaces:

ShortRateVolatilityModelCalibrateable, ShortRateVolatilityModelParametric

All Known Implementing Classes:

AbstractShortRateVolatilityModel, AbstractShortRateVolatilityModelParametric, ShortRateVolatilityModelAsGiven, ShortRateVolatilityModelHoLee, ShortRateVolatilityModelPiecewiseConstant
```
public interface ShortRateVolatilityModel
extends Serializable
```
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 \( t \mapsto a(t) \).

Version:

1.0

Author:

Christian Fries

Method Summary

All Methods Instance Methods Abstract Methods
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 \( t_{i} \leq t < t_{i+1} \).

- Method Detail
  - getTimeDiscretization
```
TimeDiscretization getTimeDiscretization()
```
    Returns the time discretization \( \{ t_{i} \} \) associated with the piecewise constant functions.
    
    Returns:
    
    the time discretization \( \{ t_{i} \} \)
  - getVolatility
```
RandomVariable 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
```
RandomVariable 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 \( t_{i} \leq t < t_{i+1} \)