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

      All Methods Instance Methods Abstract Methods 
      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 Detail

      • 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.