finMath lib documentation
net.finmath.singleswaprate.annuitymapping

## Interface AnnuityMapping

• All Known Implementing Classes:
BasicPiterbargAnnuityMapping, MultiPiterbargAnnuityMapping, SimplifiedLinearAnnuityMapping

public interface 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, Roland Bachl
• ### Nested Class Summary

Nested Classes
Modifier and Type Interface and Description
static class  AnnuityMapping.AnnuityMappingType
Implemented types of annuity mappings.
• ### Method Summary

All Methods
Modifier and Type Method and Description
double getFirstDerivative(double swapRate)
Return the first derivative of the annuity mapping for the given swap rate.
double getSecondDerivative(double swapRate)
Return the second derivative of the annuity mapping for the given swap rate.
double getValue(double swapRate)
Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.
• ### Method Detail

• #### getValue

double getValue(double swapRate)
Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.
Parameters:
swapRate - The swap rate at which to evaluate the annuity mapping.
Returns:
The value of the annuity mapping.
• #### getFirstDerivative

double getFirstDerivative(double swapRate)
Return the first derivative of the annuity mapping for the given swap rate.
Parameters:
swapRate - The swap rate at which to evaluate the annuity mapping.
Returns:
The first derivative of the annuity mapping.
• #### getSecondDerivative

double getSecondDerivative(double swapRate)
Return the second derivative of the annuity mapping for the given swap rate.
Parameters:
swapRate - The swap rate at which to evaluate the annuity mapping.
Returns:
The second derivative of the annuity mapping.