Module net.finmath.lib

Package net.finmath.singleswaprate.products

Class ConstantMaturitySwap

java.lang.Object

net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct

net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct

net.finmath.singleswaprate.products.ConstantMaturitySwap

All Implemented Interfaces:

AnalyticProduct, Product, AnalyticVolatilityCubeProduct

public class ConstantMaturitySwap
extends AbstractSingleSwapRateProduct

A constant maturity swap.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
ConstantMaturitySwap(Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType annuityMappingType)	Create the single swap rate product.

Method Summary

Modifier and Type	Method	Description
static double	analyticApproximation(double swaprate, double volatility, double swapAnnuity, double swapFixing, double swapMaturity, double payoffUnit)	Analytic approximation of a CMS value.
protected AnnuityMapping	buildAnnuityMapping(VolatilityCubeModel model)	Since most annuity mappings require data from models to be created, but models are only provided at execution of getValue, the product needs to dynamically be able to build its annuity mapping.
protected double	hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)	Essentially the second derivative of the payoff function.
protected double	payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)	Payoff function of the product.
protected double	singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)	As some products have a portion of their weight in a singular point, this is portion is split off from the hedgeweight and added after the integration.

Methods inherited from class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct

getDiscountCurveName, getFixSchedule, getFloatSchedule, getForwardCurveName, getIntegrationLowerBound, getIntegrationNumberOfEvaluationPoints, getIntegrationUpperBound, getValue, getValue, getVolatilityCubeName, setIntegrationParameters, valueCall, valuePut

Methods inherited from class net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct

getValue, getValue, getValue

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.modelling.Product

getValues

Constructor Details

ConstantMaturitySwap

public ConstantMaturitySwap(Schedule fixSchedule,
 Schedule floatSchedule,
 String discountCurveName,
 String forwardCurveName,
 String volatilityCubeName,
 AnnuityMapping.AnnuityMappingType annuityMappingType)

Create the single swap rate product.

Parameters:

fixSchedule - The fix schedule of the swap.

floatSchedule - The float schedule of the swap.

discountCurveName - The name of the discount curve.

forwardCurveName - The name of the forward curve.

volatilityCubeName - The name of the volatility cube.

annuityMappingType - The type of annuity mapping to be used for evaluation.

Method Details

payoffFunction

protected double payoffFunction(double swapRate,
 AnnuityMapping annuityMapping,
 VolatilityCubeModel model)

Description copied from class: AbstractSingleSwapRateProduct

Payoff function of the product. Dependent only on the swap rate.

Specified by:

payoffFunction in class AbstractSingleSwapRateProduct

Parameters:

swapRate - The swap rate.

annuityMapping - The annuity mapping to use.

model - The model for context.

Returns:

The payoff of the product.

hedgeWeight

protected double hedgeWeight(double swapRate,
 AnnuityMapping annuityMapping,
 VolatilityCubeModel model)

Description copied from class: AbstractSingleSwapRateProduct

Essentially the second derivative of the payoff function. The hedgeweight determines the weight of the puts and calls under the integral when replicating.

Specified by:

hedgeWeight in class AbstractSingleSwapRateProduct

Parameters:

swapRate - The swap rate.

annuityMapping - The annuity mapping to use.

model - The model for context.

Returns:

The weight during replication.

singularAddon

protected double singularAddon(double swapRate,
 AnnuityMapping annuityMapping,
 VolatilityCubeModel model)

Description copied from class: AbstractSingleSwapRateProduct

As some products have a portion of their weight in a singular point, this is portion is split off from the hedgeweight and added after the integration.

Specified by:

singularAddon in class AbstractSingleSwapRateProduct

Parameters:

swapRate - The swap rate.

annuityMapping - The annuity mapping to use.

model - The model for context.

Returns:

The singular addon.

buildAnnuityMapping

protected AnnuityMapping buildAnnuityMapping(VolatilityCubeModel model)

Description copied from class: AbstractSingleSwapRateProduct

Since most annuity mappings require data from models to be created, but models are only provided at execution of getValue, the product needs to dynamically be able to build its annuity mapping. This method may be left to return null, if the product requires no annuity mapping or is intended to always receive an annuity mapping for evaluation.

Specified by:

buildAnnuityMapping in class AbstractSingleSwapRateProduct

Parameters:

model - The model for context.

Returns:

The annuity mapping.

analyticApproximation

public static double analyticApproximation(double swaprate,
 double volatility,
 double swapAnnuity,
 double swapFixing,
 double swapMaturity,
 double payoffUnit)

Analytic approximation of a CMS value.

Parameters:

swaprate - The underlying swap rate.

volatility - The volatility of the swap rate.

swapAnnuity - The annuity of the swap.

swapFixing - The fixing time of the swap.

swapMaturity - The maturity time of the swap.

payoffUnit - The discount factor to be used.

Returns:

The value of the cms.