Interface AnnuityMapping

All Known Implementing Classes:
BasicPiterbargAnnuityMapping, MultiPiterbargAnnuityMapping, SimplifiedLinearAnnuityMapping

public interface AnnuityMapping
An interface for calsses providing annuity mappings. An annuity mapping allows to treat swap annuity as a function of the swap rate. More precisely it is a function \( \alpha \) such that \[ \alpha(x) = E^A [ \frac{A(0)}{A(T)} | S(T) = x ] \, . \] Where A is the (froward) annuity and S is the swap rate at the given time.
Author:
Christian Fries, Roland Bachl
  • Nested Class Summary

    Nested Classes
    Modifier and Type
    Interface
    Description
    static enum 
    Implemented types of annuity mappings.
  • Method Summary

    Modifier and Type
    Method
    Description
    double
    getFirstDerivative(double swapRate)
    Return the first derivative of the annuity mapping for the given swap rate.
    double
    getSecondDerivative(double swapRate)
    Return the second derivative of the annuity mapping for the given swap rate.
    double
    getValue(double swapRate)
    Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.
  • Method Details

    • getValue

      double getValue(double swapRate)
      Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.
      Parameters:
      swapRate - The swap rate at which to evaluate the annuity mapping.
      Returns:
      The value of the annuity mapping.
    • getFirstDerivative

      double getFirstDerivative(double swapRate)
      Return the first derivative of the annuity mapping for the given swap rate.
      Parameters:
      swapRate - The swap rate at which to evaluate the annuity mapping.
      Returns:
      The first derivative of the annuity mapping.
    • getSecondDerivative

      double getSecondDerivative(double swapRate)
      Return the second derivative of the annuity mapping for the given swap rate.
      Parameters:
      swapRate - The swap rate at which to evaluate the annuity mapping.
      Returns:
      The second derivative of the annuity mapping.