Module net.finmath.lib

Package net.finmath.singleswaprate.annuitymapping

Class ExponentialNormalizer

java.lang.Object

net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer

All Implemented Interfaces:

NormalizingFunction

public class ExponentialNormalizer
extends Object
implements NormalizingFunction

An exponential normalizing function following \[ c e^{-(x / S)^2} \] where S is the swap rate and c is some scaling factor.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
ExponentialNormalizer(double initialSwapRate, double scale)	Create the exponential normalizer with parameters.
ExponentialNormalizer(Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, VolatilityCubeModel model)	Create the exponential normalizer from information of the product.

Method Summary

Modifier and Type	Method	Description
double	getFirstDerivative(double swapRate)	Return the first derivative of the normalizing function at the given swap rate.
double	getSecondDerivative(double swapRate)	Return the second derivative of the normalizing function at the given swap rate.
double	getValue(double swapRate)	Return the value of the normalizing function for the given swap rate.

Methods inherited from class java.lang.Object

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

Constructor Details

ExponentialNormalizer

public ExponentialNormalizer(Schedule fixSchedule,
 Schedule floatSchedule,
 String discountCurveName,
 String forwardCurveName,
 String volatilityCubeName,
 VolatilityCubeModel model)

Create the exponential normalizer from information of the product. The constructor assumes a period of 6M for the forward curve.

Parameters:

fixSchedule - The fix schedule of the product.

floatSchedule - The float schedule of the product.

discountCurveName - The name of the discount curve.

forwardCurveName - The name of the forward curve.

volatilityCubeName - The name of the volatility cube.

model - The model for context.

ExponentialNormalizer

public ExponentialNormalizer(double initialSwapRate,
 double scale)

Create the exponential normalizer with parameters.

Parameters:

initialSwapRate - The par swap rate.

scale - The scale.

Method Details

getValue

public double getValue(double swapRate)

Description copied from interface: NormalizingFunction

Return the value of the normalizing function for the given swap rate.

Specified by:

getValue in interface NormalizingFunction

Parameters:

swapRate - The desired swap rate

Returns:

The normalizing factor at the given swap rate.

getFirstDerivative

public double getFirstDerivative(double swapRate)

Description copied from interface: NormalizingFunction

Return the first derivative of the normalizing function at the given swap rate.

Specified by:

getFirstDerivative in interface NormalizingFunction

Parameters:

swapRate - The desired swap rate.

Returns:

The first derivative of the normalizing function at the given swap rate.

getSecondDerivative

public double getSecondDerivative(double swapRate)

Description copied from interface: NormalizingFunction

Return the second derivative of the normalizing function at the given swap rate.

Specified by:

getSecondDerivative in interface NormalizingFunction

Parameters:

swapRate - The desired swap rate.

Returns:

The second derivative of the normalizing function at the given swap rate.