ShortRateVolailityModelInterface.java

/*
 * (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: email@christianfries.com.
 *
 * Created on 24.01.2016
 */

package net.finmath.montecarlo.interestrate.modelplugins;

import net.finmath.time.TimeDiscretizationInterface;

/**
 * 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
 */
public interface ShortRateVolailityModelInterface {

	/**
	 * Returns the time discretization \( \{ t_{i} \} \) associated
	 * with the piecewise constant functions.
	 * 
	 * @return the time discretization \( \{ t_{i} \} \)
	 */
	TimeDiscretizationInterface 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 \( t_{i} \leq t < t_{i+1} \)
	 */
	double 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 \( t_{i} \leq t < t_{i+1} \)
	 */
	double getMeanReversion(int timeIndex);
}