public class SwapAnnuity extends AbstractAnalyticProduct implements AnalyticProduct
TimeDiscretization
.Constructor and Description 

SwapAnnuity(Schedule schedule,
String discountCurveName)
Creates a swap annuity for a given schedule and discount curve.

Modifier and Type  Method and Description 

static double 
getSwapAnnuity(double evaluationTime,
Schedule schedule,
DiscountCurve discountCurve,
AnalyticModel model)
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.

static double 
getSwapAnnuity(Schedule schedule,
DiscountCurve discountCurve)
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.

static double 
getSwapAnnuity(Schedule schedule,
ForwardCurve forwardCurve)
Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.

static double 
getSwapAnnuity(TimeDiscretization tenor,
DiscountCurve discountCurve)
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.

static double 
getSwapAnnuity(TimeDiscretization tenor,
ForwardCurve forwardCurve)
Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.

double 
getValue(double evaluationTime,
AnalyticModel model)
Return the valuation of the product using the given model.

String 
toString() 
getValue, getValue
public double getValue(double evaluationTime, AnalyticModel model)
AnalyticProduct
AnalyticModel
.getValue
in interface AnalyticProduct
evaluationTime
 The evaluation time as double. Cash flows prior and including this time are not considered.model
 The model under which the product is valued.public static double getSwapAnnuity(TimeDiscretization tenor, DiscountCurve discountCurve)
tenor
 The schedule discretization, i.e., the period start and end dates. End dates are considered payment dates and start of the next period.discountCurve
 The discount curve.public static double getSwapAnnuity(TimeDiscretization tenor, ForwardCurve forwardCurve)
tenor
 The schedule discretization, i.e., the period start and end dates. End dates are considered payment dates and start of the next period.forwardCurve
 The forward curve.public static double getSwapAnnuity(Schedule schedule, DiscountCurve discountCurve)
getSwapAnnuity(double, Schedule, DiscountCurve, AnalyticModel)
.schedule
 The schedule discretization, i.e., the period start and end dates. End dates are considered payment dates and start of the next period.discountCurve
 The discount curve.public static double getSwapAnnuity(Schedule schedule, ForwardCurve forwardCurve)
getSwapAnnuity(double, Schedule, DiscountCurve, AnalyticModel)
.schedule
 The schedule discretization, i.e., the period start and end dates. End dates are considered payment dates and start of the next period.forwardCurve
 The forward curve.public static double getSwapAnnuity(double evaluationTime, Schedule schedule, DiscountCurve discountCurve, AnalyticModel model)
evaluationTime
 The evaluation time as double. Cash flows prior and including this time are not considered.schedule
 The schedule discretization, i.e., the period start and end dates. End dates are considered payment dates and start of the next period.discountCurve
 The discount curve.model
 The model, needed only in case the discount curve evaluation depends on an additional curve.Copyright © 2019. All rights reserved.