Module net.finmath.lib
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.