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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
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package net.finmath.singleswaprate.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
* @author Roland Bachl
*
*/
public interface AnnuityMapping {
/**
* Implemented types of annuity mappings.
*
* @author Christian Fries
* @author Roland Bachl
*
*/
enum AnnuityMappingType {
BASICPITERBARG,
SIMPLIFIEDLINEAR,
MULTIPITERBARG,
}
/**
* Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.
*
* @param swapRate The swap rate at which to evaluate the annuity mapping.
* @return The value of the annuity mapping.
*/
double getValue(double swapRate);
/**
* Return the first derivative of the annuity mapping for the given swap rate.
*
* @param swapRate The swap rate at which to evaluate the annuity mapping.
* @return The first derivative of the annuity mapping.
*/
double getFirstDerivative(double swapRate);
/**
* Return the second derivative of the annuity mapping for the given swap rate.
*
* @param swapRate The swap rate at which to evaluate the annuity mapping.
* @return The second derivative of the annuity mapping.
*/
double getSecondDerivative(double swapRate);
}