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

    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 Details

    • 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.