|Constructor and Description|
Create the single swap rate product.
|Modifier and Type||Method and Description|
Analytic approximation of a CMS value.
Since most annuity mappings require data from models to be created, but models are only provided at execution of
Essentially the second derivative of the payoff function.
Payoff function of the product.
As some products have a portion of their weight in a singular point, this is portion is split off from the
getDiscountCurveName, getFixSchedule, getFloatSchedule, getForwardCurveName, getIntegrationLowerBound, getIntegrationNumberOfEvaluationPoints, getIntegrationUpperBound, getValue, getValue, getVolatilityCubeName, setIntegrationParameters, valueCall, valuePut
getValue, getValue, getValue
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
public ConstantMaturitySwap(Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType annuityMappingType)
fixSchedule- The fix schedule of the swap.
floatSchedule- The float schedule of the swap.
discountCurveName- The name of the discount curve.
forwardCurveName- The name of the forward curve.
volatilityCubeName- The name of the volatility cube.
annuityMappingType- The type of annuity mapping to be used for evaluation.
protected double payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
hedgeweightand added after the integration.
protected AnnuityMapping buildAnnuityMapping(VolatilityCubeModel model)
getValue, the product needs to dynamically be able to build its annuity mapping. This method may be left to return
null, if the product requires no annuity mapping or is intended to always receive an annuity mapping for evaluation.
public static double analyticApproximation(double swaprate, double volatility, double swapAnnuity, double swapFixing, double swapMaturity, double payoffUnit)
swaprate- The underlying swap rate.
volatility- The volatility of the swap rate.
swapAnnuity- The annuity of the swap.
swapFixing- The fixing time of the swap.
swapMaturity- The maturity time of the swap.
payoffUnit- The discount factor to be used.
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