net.finmath.singleswaprate.annuitymapping.NormalizingFunction Maven / Gradle / Ivy
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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;
/**
* Interface for a normalizing function which is to ensure the no-arbitrage requirements of a Piterbarg annuity mapping.
*
* @author Christian Fries
* @author Roland Bachl
*
*/
public interface NormalizingFunction {
/**
* Return the value of the normalizing function for the given swap rate.
*
* @param swapRate The desired swap rate
* @return The normalizing factor at the given swap rate.
*/
double getValue(double swapRate);
/**
* Return the first derivative of the normalizing function at the given swap rate.
*
* @param swapRate The desired swap rate.
* @return The first derivative of the normalizing function at the given swap rate.
*/
double getFirstDerivative(double swapRate);
/**
* Return the second derivative of the normalizing function at the given swap rate.
*
* @param swapRate The desired swap rate.
* @return The second derivative of the normalizing function at the given swap rate.
*/
double getSecondDerivative(double swapRate);
}