Module net.finmath.lib
Package net.finmath.singleswaprate.annuitymapping

Interface AnnuityMapping

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

    Nested Classes
    Modifier and Type
    Interface
    Description
    static class 
    AnnuityMapping.AnnuityMappingType
    Implemented types of annuity mappings.

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    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.