## Interface NormalizingFunction

• All Known Implementing Classes:
ConstantNormalizer, ExponentialNormalizer

public interface NormalizingFunction
Interface for a normalizing function which is to ensure the no-arbitrage requirements of a Piterbarg annuity mapping.
Author:
Christian Fries, Roland Bachl
• ### Method Summary

All Methods
Modifier and Type Method Description
double getFirstDerivative​(double swapRate)
Return the first derivative of the normalizing function at the given swap rate.
double getSecondDerivative​(double swapRate)
Return the second derivative of the normalizing function at the given swap rate.
double getValue​(double swapRate)
Return the value of the normalizing function for the given swap rate.
• ### Method Detail

• #### getValue

double getValue​(double swapRate)
Return the value of the normalizing function for the given swap rate.
Parameters:
swapRate - The desired swap rate
Returns:
The normalizing factor at the given swap rate.
• #### getFirstDerivative

double getFirstDerivative​(double swapRate)
Return the first derivative of the normalizing function at the given swap rate.
Parameters:
swapRate - The desired swap rate.
Returns:
The first derivative of the normalizing function at the given swap rate.
• #### getSecondDerivative

double getSecondDerivative​(double swapRate)
Return the second derivative of the normalizing function at the given swap rate.
Parameters:
swapRate - The desired swap rate.
Returns:
The second derivative of the normalizing function at the given swap rate.