Class BasicPiterbargAnnuityMapping

java.lang.Object
net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
All Implemented Interfaces:
AnnuityMapping

public class BasicPiterbargAnnuityMapping extends Object implements AnnuityMapping
Implements an annuity mapping following Vladimir Piterbarg's approach. This class does not take into account multi curve convexity adjustment.
Author:
Christian Fries, Roland Bachl
  • Constructor Details

    • BasicPiterbargAnnuityMapping

      public BasicPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, VolatilityCubeModel model, String discountCurveName, String volatilityCubeName)
      Create the annuity mapping. When used without strike the volatilities are taken out of the cube at par swap rate.
      Parameters:
      fixSchedule - Fix leg schedule of the swap.
      floatSchedule - Float leg schedule of the swap.
      model - The model containing curve and cube.
      discountCurveName - The name of the discount curve.
      volatilityCubeName - The name of the volatility cube.
    • BasicPiterbargAnnuityMapping

      public BasicPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, double strike, VolatilityCubeModel model, String discountCurveName, String volatilityCubeName)
      Create the annuity mapping.
      Parameters:
      fixSchedule - Fix leg schedule of the swap.
      floatSchedule - Float leg schedule of the swap.
      strike - The strike of the product this annuity mapping is being created for.
      model - The model containing curve and cube.
      discountCurveName - The name of the discount curve.
      volatilityCubeName - The name of the volatility cube.
    • BasicPiterbargAnnuityMapping

      public BasicPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, double strike, VolatilityCubeModel model, String discountCurveName, String volatilityCubeName, double lowerBound, double upperBound, int numberOfEvaluationPoints)
      Create the annuity mapping.
      Parameters:
      fixSchedule - Fix leg schedule of the swap.
      floatSchedule - Float leg schedule of the swap.
      strike - The strike of the product this annuity mapping is being created for.
      model - The model containing curve and cube.
      discountCurveName - The name of the discount curve.
      volatilityCubeName - The name of the volatility cube.
      lowerBound - The lowest strike the Piterbarg annuity mapping may use during replication, when normalizing.
      upperBound - The maximum strike the Piterbarg annuity mapping may use during replication, when normalizing.
      numberOfEvaluationPoints - The number of points the replication may evaluate Piterbarg annuity mapping is normalizing.
  • Method Details

    • getValue

      public double getValue(double swapRate)
      Description copied from interface: AnnuityMapping
      Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.
      Specified by:
      getValue in interface AnnuityMapping
      Parameters:
      swapRate - The swap rate at which to evaluate the annuity mapping.
      Returns:
      The value of the annuity mapping.
    • getFirstDerivative

      public double getFirstDerivative(double swapRate)
      Description copied from interface: AnnuityMapping
      Return the first derivative of the annuity mapping for the given swap rate.
      Specified by:
      getFirstDerivative in interface AnnuityMapping
      Parameters:
      swapRate - The swap rate at which to evaluate the annuity mapping.
      Returns:
      The first derivative of the annuity mapping.
    • getSecondDerivative

      public double getSecondDerivative(double swapRate)
      Description copied from interface: AnnuityMapping
      Return the second derivative of the annuity mapping for the given swap rate.
      Specified by:
      getSecondDerivative in interface AnnuityMapping
      Parameters:
      swapRate - The swap rate at which to evaluate the annuity mapping.
      Returns:
      The second derivative of the annuity mapping.