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

Interface NormalizingFunction

All Known Implementing Classes:
ConstantNormalizer, ExponentialNormalizer
public interface NormalizingFunction
Interface for a normalizing function which is to ensure the no-arbitrage requirements of a Piterbarg annuity mapping.
Author:
Christian Fries, Roland Bachl

  • 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.

  • Method Details

    • getValue

      double getValue​(double swapRate)
      Return the value of the normalizing function for the given swap rate.
      Parameters:
      swapRate - The desired swap rate
      Returns:
      The normalizing factor at the given swap rate.

    • getFirstDerivative

      double getFirstDerivative​(double swapRate)
      Return the first derivative of the normalizing function at the given swap rate.
      Parameters:
      swapRate - The desired swap rate.
      Returns:
      The first derivative of the normalizing function at the given swap rate.

    • getSecondDerivative

      double getSecondDerivative​(double swapRate)
      Return the second derivative of the normalizing function at the given swap rate.
      Parameters:
      swapRate - The desired swap rate.
      Returns:
      The second derivative of the normalizing function at the given swap rate.