public class NormalizingDummyProduct extends AbstractSingleSwapRateProduct
NormalizingFunction. This can be used to calibrate the function.
|Constructor and Description|
Create the dummy product for a normalizer.
|Modifier and Type||Method and Description|
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 NormalizingDummyProduct(Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, NormalizingFunction normalizer)
fixSchedule- The fix schedule of the product that is going to use this normalizer.
floatSchedule- The float schedule of the product that is going to use this normalizer.
discountCurveName- The name of the discount curve.
forwardCurveName- The name of the forward curve.
volatilityCubeName- The name of the volatility cube.
normalizer- The normalizer of this dummy.
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.
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