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 class  AnnuityMapping.AnnuityMappingType
Implemented types of annuity mappings.
• Method Summary

All Methods
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 Detail

• 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.