Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Interface ShortRateModel

All Superinterfaces:

ProcessModel, TermStructureModel

All Known Implementing Classes:

HullWhiteModel

public interface ShortRateModel
extends TermStructureModel

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.

Methods inherited from interface net.finmath.montecarlo.model.ProcessModel

applyStateSpaceTransform, applyStateSpaceTransformInverse, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumeraire, getRandomVariableForConstant, getReferenceDate

Methods inherited from interface net.finmath.montecarlo.interestrate.TermStructureModel

getAnalyticModel, getCloneWithModifiedData, getDiscountCurve, getForwardDiscountBond, getForwardRate, getForwardRateCurve, getLIBOR

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.

Specified by:

getNumberOfFactors in interface ProcessModel

Returns:

The number of factors.