# 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.