 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
Modifier and TypeInterfaceDescriptionstatic class
Implemented types of annuity mappings. 
Method Summary
Modifier and TypeMethodDescriptiondouble
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 Details

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.
