public class SwapAnnuity extends AbstractAnalyticProduct implements AnalyticProductInterface
TimeDiscretizationInterface
.Constructor and Description 

SwapAnnuity(ScheduleInterface 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,
ScheduleInterface schedule,
DiscountCurveInterface discountCurve,
AnalyticModelInterface model)
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.

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

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

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

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

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

String 
toString() 
getValue, getValue
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
getValue
public SwapAnnuity(ScheduleInterface schedule, String discountCurveName)
schedule
 Tenor of the swap annuity.discountCurveName
 Name of the discount curve for the swap annuity.public double getValue(double evaluationTime, AnalyticModelInterface model)
AnalyticProductInterface
AnalyticModelInterface
.getValue
in interface AnalyticProductInterface
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(TimeDiscretizationInterface tenor, DiscountCurveInterface 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(TimeDiscretizationInterface tenor, ForwardCurveInterface 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(ScheduleInterface schedule, DiscountCurveInterface discountCurve)
getSwapAnnuity(double, ScheduleInterface, DiscountCurveInterface, AnalyticModelInterface)
.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(ScheduleInterface schedule, ForwardCurveInterface forwardCurve)
getSwapAnnuity(double, ScheduleInterface, DiscountCurveInterface, AnalyticModelInterface)
.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, ScheduleInterface schedule, DiscountCurveInterface discountCurve, AnalyticModelInterface 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 © 2017. All rights reserved.