Uses of Interface
net.finmath.singleswaprate.annuitymapping.AnnuityMapping
Package
Description
Classes providing options for the annuity mapping function.
Provides interface specification and implementation of product based on a single interest rate curve.
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Uses of AnnuityMapping in net.finmath.singleswaprate.annuitymapping
Modifier and TypeClassDescriptionclass
Implements an annuity mapping following Vladimir Piterbarg's approach.class
Implements an annuity mapping following Vladimir Piterbarg's approach.class
Provides a light-weight linear annuity mapping.Modifier and TypeMethodDescriptionAnnuityMappingFactory.build
(AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model) Build the annuity mapping.static AnnuityMapping
AnnuityMappingFactory.buildAnnuityMapping
(double strike, Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model) Build an annuity mapping.static AnnuityMapping
AnnuityMappingFactory.buildAnnuityMapping
(double strike, Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model, double lowerBound, double upperBound, int numberOfEvaluationPoints) Build an annuity mapping. -
Uses of AnnuityMapping in net.finmath.singleswaprate.products
Modifier and TypeMethodDescriptionprotected abstract AnnuityMapping
AbstractSingleSwapRateProduct.buildAnnuityMapping
(VolatilityCubeModel model) Since most annuity mappings require data from models to be created, but models are only provided at execution ofgetValue
, the product needs to dynamically be able to build its annuity mapping.protected AnnuityMapping
AnnuityDummyProduct.buildAnnuityMapping
(VolatilityCubeModel model) protected AnnuityMapping
CashSettledPayerSwaption.buildAnnuityMapping
(VolatilityCubeModel model) protected AnnuityMapping
CashSettledReceiverSwaption.buildAnnuityMapping
(VolatilityCubeModel model) protected AnnuityMapping
ConstantMaturitySwap.buildAnnuityMapping
(VolatilityCubeModel model) protected AnnuityMapping
NormalizingDummyProduct.buildAnnuityMapping
(VolatilityCubeModel model) Modifier and TypeMethodDescriptiondouble
AbstractSingleSwapRateProduct.getValue
(double evaluationTime, AnnuityMapping annuityMapping, VolatilityCubeModel model) Return the valuation of the product using the given model.protected abstract double
AbstractSingleSwapRateProduct.hedgeWeight
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) Essentially the second derivative of the payoff function.protected double
AnnuityDummyProduct.hedgeWeight
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
CashSettledPayerSwaption.hedgeWeight
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
CashSettledReceiverSwaption.hedgeWeight
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
ConstantMaturitySwap.hedgeWeight
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
NormalizingDummyProduct.hedgeWeight
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected abstract double
AbstractSingleSwapRateProduct.payoffFunction
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) Payoff function of the product.protected double
AnnuityDummyProduct.payoffFunction
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
CashSettledPayerSwaption.payoffFunction
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
CashSettledReceiverSwaption.payoffFunction
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
ConstantMaturitySwap.payoffFunction
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
NormalizingDummyProduct.payoffFunction
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected abstract double
AbstractSingleSwapRateProduct.singularAddon
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) As some products have a portion of their weight in a singular point, this is portion is split off from thehedgeweight
and added after the integration.protected double
AnnuityDummyProduct.singularAddon
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
CashSettledPayerSwaption.singularAddon
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
CashSettledReceiverSwaption.singularAddon
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
ConstantMaturitySwap.singularAddon
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) protected double
NormalizingDummyProduct.singularAddon
(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model) ModifierConstructorDescriptionAnnuityDummyProduct
(Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping annuityMapping) Create the dummy product for the given annuity mapping.