webcab.lib.finance.pricing.contexts
Interface ForwardRateVolatilityContext

public interface ForwardRateVolatilityContext

This interface is implemented by all contexts supporting the FORWARD_RATE_VOLATILITY category. The only model providing this type of context is:

• DeterministForwardRateVolatilityModel

See Also:

Context

Method Summary

double

getVolatility(double T) Returns the volatility of the instantaneous forward rate with maturity T

Method Detail

getVolatility

public double getVolatility(double T)
                     throws NotDefinedException

Returns the volatility of the instantaneous forward rate with maturity T

Parameters:

T - the maturity

Returns:

double

Throws:

NotDefinedException