Module net.finmath.lib
Interface ShortRateVolatilityModelParametric
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- 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
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method 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
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Method Detail
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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.
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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.
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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.
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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.
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