net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel Maven / Gradle / Ivy

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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 24.01.2016
 */

package net.finmath.montecarlo.interestrate.models.covariance;

import java.io.Serializable;

import net.finmath.stochastic.RandomVariable;
import net.finmath.time.TimeDiscretization;

/**
 * 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 \( t \mapsto a(t) \).
 *
 * @author Christian Fries
 * @version 1.0
 */
public interface ShortRateVolatilityModel extends Serializable {

	/**
	 * Returns the time discretization \( \{ t_{i} \} \) associated
	 * with the piecewise constant functions.
	 *
	 * @return the time discretization \( \{ t_{i} \} \)
	 */
	TimeDiscretization getTimeDiscretization();

	/**
	 * Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).
	 *
	 * @param timeIndex The index \( i \).
	 * @return the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \)
	 */
	RandomVariable getVolatility(int timeIndex);

	/**
	 * Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).
	 *
	 * @param timeIndex The index \( i \).
	 * @return the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \)
	 */
	RandomVariable getMeanReversion(int timeIndex);
}