Module net.finmath.lib
Package net.finmath.singleswaprate.annuitymapping
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
-
ClassDescriptionAn interface for calsses providing annuity mappings.Implemented types of annuity mappings.Provides factories to build annuity mappings from uniform input.Implements an annuity mapping following Vladimir Piterbarg's approach.Constant normalizer returning the value one.An exponential normalizing function following \[ c e^{-(x / S)^2} \] where S is the swap rate and c is some scaling factor.Implements an annuity mapping following Vladimir Piterbarg's approach.Interface for a normalizing function which is to ensure the no-arbitrage requirements of a Piterbarg annuity mapping.Provides a light-weight linear annuity mapping.