Class SwapAnnuity

java.lang.Object

net.finmath.finitedifference.interestrate.products.SwapAnnuity

public final class SwapAnnuity
extends Object

Utility methods for swap annuities in the finite-difference interest-rate framework.

The reduced-scope swap annuity at time t is defined as

A(t,x) = \sum_{i} \delta_i P(t,T_i;x),

where the sum runs over the fixed-leg periods which have not yet started, i.e. periods with periodStart >= t. This is consistent with the remaining forward-looking interpretation used by SwapLeg and Swap.

Author:

Alessandro Gnoatto

Method Summary

Modifier and Type	Method	Description
static double	getSwapAnnuity(double evaluationTime, Schedule schedule, FiniteDifferenceInterestRateModel model, double... stateVariables)	Returns the reduced-scope swap annuity at the given evaluation time and state.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

getSwapAnnuity

public static double getSwapAnnuity(double evaluationTime,
 Schedule schedule,
 FiniteDifferenceInterestRateModel model,
 double... stateVariables)

Returns the reduced-scope swap annuity at the given evaluation time and state.

Parameters:

evaluationTime - The evaluation time.

schedule - The fixed-leg schedule.

model - The finite-difference interest-rate model.

stateVariables - The current state variables.

Returns:

The swap annuity.