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

Interface AnnuityMapping

  • All Known Implementing Classes:
    BasicPiterbargAnnuityMapping, MultiPiterbargAnnuityMapping, SimplifiedLinearAnnuityMapping
    public interface AnnuityMapping
    An interface for calsses providing annuity mappings. An annuity mapping allows to treat swap annuity as a function of the swap rate. More precisely it is a function \( \alpha \) such that \[ \alpha(x) = E^A [ \frac{A(0)}{A(T)} | S(T) = x ] \, . \] Where A is the (froward) annuity and S is the swap rate at the given time.
    Author:
    Christian Fries, Roland Bachl

    • Method Summary

      All Methods Instance Methods Abstract Methods 
      Modifier and Type Method Description
      double getFirstDerivative​(double swapRate)
      Return the first derivative of the annuity mapping for the given swap rate.
      double getSecondDerivative​(double swapRate)
      Return the second derivative of the annuity mapping for the given swap rate.
      double getValue​(double swapRate)
      Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.

    • Method Detail

      • getValue

        double getValue​(double swapRate)
        Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.
        Parameters:
        swapRate - The swap rate at which to evaluate the annuity mapping.
        Returns:
        The value of the annuity mapping.

      • getFirstDerivative

        double getFirstDerivative​(double swapRate)
        Return the first derivative of the annuity mapping for the given swap rate.
        Parameters:
        swapRate - The swap rate at which to evaluate the annuity mapping.
        Returns:
        The first derivative of the annuity mapping.

      • getSecondDerivative

        double getSecondDerivative​(double swapRate)
        Return the second derivative of the annuity mapping for the given swap rate.
        Parameters:
        swapRate - The swap rate at which to evaluate the annuity mapping.
        Returns:
        The second derivative of the annuity mapping.