Module net.finmath.lib

Package net.finmath.singleswaprate.annuitymapping

Class BasicPiterbargAnnuityMapping

java.lang.Object

net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping

All Implemented Interfaces:

AnnuityMapping

public class BasicPiterbargAnnuityMapping
extends Object
implements AnnuityMapping

Implements an annuity mapping following Vladimir Piterbarg's approach. This class does not take into account multi curve convexity adjustment.

Author:

Christian Fries, Roland Bachl

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.singleswaprate.annuitymapping.AnnuityMapping

AnnuityMapping.AnnuityMappingType

Constructor Summary

Constructors

Constructor	Description
BasicPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, double strike, VolatilityCubeModel model, String discountCurveName, String volatilityCubeName)	Create the annuity mapping.
BasicPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, double strike, VolatilityCubeModel model, String discountCurveName, String volatilityCubeName, double lowerBound, double upperBound, int numberOfEvaluationPoints)	Create the annuity mapping.
BasicPiterbargAnnuityMapping(Schedule fixSchedule, Schedule floatSchedule, VolatilityCubeModel model, String discountCurveName, String volatilityCubeName)	Create the annuity mapping.

Method Summary

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.

Methods inherited from class java.lang.Object

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

Constructor Detail

BasicPiterbargAnnuityMapping

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

Create the annuity mapping. When used without strike the volatilities are taken out of the cube at par swap rate.

Parameters:

fixSchedule - Fix leg schedule of the swap.

floatSchedule - Float leg schedule of the swap.

model - The model containing curve and cube.

discountCurveName - The name of the discount curve.

volatilityCubeName - The name of the volatility cube.

BasicPiterbargAnnuityMapping

public BasicPiterbargAnnuityMapping(Schedule fixSchedule,
                                    Schedule floatSchedule,
                                    double strike,
                                    VolatilityCubeModel model,
                                    String discountCurveName,
                                    String volatilityCubeName)

Create the annuity mapping.

Parameters:

fixSchedule - Fix leg schedule of the swap.

floatSchedule - Float leg schedule of the swap.

strike - The strike of the product this annuity mapping is being created for.

model - The model containing curve and cube.

discountCurveName - The name of the discount curve.

volatilityCubeName - The name of the volatility cube.

BasicPiterbargAnnuityMapping

public BasicPiterbargAnnuityMapping(Schedule fixSchedule,
                                    Schedule floatSchedule,
                                    double strike,
                                    VolatilityCubeModel model,
                                    String discountCurveName,
                                    String volatilityCubeName,
                                    double lowerBound,
                                    double upperBound,
                                    int numberOfEvaluationPoints)

Create the annuity mapping.

Parameters:

fixSchedule - Fix leg schedule of the swap.

floatSchedule - Float leg schedule of the swap.

strike - The strike of the product this annuity mapping is being created for.

model - The model containing curve and cube.

discountCurveName - The name of the discount curve.

volatilityCubeName - The name of the volatility cube.

lowerBound - The lowest strike the Piterbarg annuity mapping may use during replication, when normalizing.

upperBound - The maximum strike the Piterbarg annuity mapping may use during replication, when normalizing.

numberOfEvaluationPoints - The number of points the replication may evaluate Piterbarg annuity mapping is normalizing.

Method Detail

getValue

public double getValue(double swapRate)

Description copied from interface: AnnuityMapping

Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.

Specified by:

getValue in interface AnnuityMapping

Parameters:

swapRate - The swap rate at which to evaluate the annuity mapping.

Returns:

The value of the annuity mapping.

getFirstDerivative

public double getFirstDerivative(double swapRate)

Description copied from interface: AnnuityMapping

Return the first derivative of the annuity mapping for the given swap rate.

Specified by:

getFirstDerivative in interface AnnuityMapping

Parameters:

swapRate - The swap rate at which to evaluate the annuity mapping.

Returns:

The first derivative of the annuity mapping.

getSecondDerivative

public double getSecondDerivative(double swapRate)

Description copied from interface: AnnuityMapping

Return the second derivative of the annuity mapping for the given swap rate.

Specified by:

getSecondDerivative in interface AnnuityMapping

Parameters:

swapRate - The swap rate at which to evaluate the annuity mapping.

Returns:

The second derivative of the annuity mapping.