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finMath lib documentation

Package net.finmath.singleswaprate.annuitymapping

Classes providing options for the annuity mapping function.

See: Description

Package net.finmath.singleswaprate.annuitymapping Description

Classes providing options for the annuity mapping function. These replace the annuity, which is dependent on bonds of multiple maturities, with a function that solely depends on a single swap rate. Thus allowing to use vanilla models where otherwise term structure models would be necessary.
Author:
Christian Fries, Roland Bachl
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Copyright © 2018 Christian P. Fries.

Copyright © 2019. All rights reserved.