Module net.finmath.lib

Package net.finmath.singleswaprate.annuitymapping

package net.finmath.singleswaprate.annuitymapping

Classes providing options for the annuity mapping function. These replace the annuity, which is dependent on bonds of multiple maturities, with a function that solely depends on a single swap rate. Thus allowing to use vanilla models where otherwise term structure models would be necessary.

Author:

Christian Fries, Roland Bachl

Interface Summary

Interface	Description
AnnuityMapping	An interface for calsses providing annuity mappings.
NormalizingFunction	Interface for a normalizing function which is to ensure the no-arbitrage requirements of a Piterbarg annuity mapping.

Class Summary

Class	Description
AnnuityMappingFactory	Provides factories to build annuity mappings from uniform input.
BasicPiterbargAnnuityMapping	Implements an annuity mapping following Vladimir Piterbarg's approach.
ConstantNormalizer	Constant normalizer returning the value one.
ExponentialNormalizer	An exponential normalizing function following \[ c e^{-(x / S)^2} \] where S is the swap rate and c is some scaling factor.
MultiPiterbargAnnuityMapping	Implements an annuity mapping following Vladimir Piterbarg's approach.
SimplifiedLinearAnnuityMapping	Provides a light-weight linear annuity mapping.

Enum Summary

Enum	Description
AnnuityMapping.AnnuityMappingType	Implemented types of annuity mappings.