Uses of Interface
net.finmath.singleswaprate.annuitymapping.AnnuityMapping

Packages that use AnnuityMapping

Package	Description
net.finmath.singleswaprate.annuitymapping	Classes providing options for the annuity mapping function.
net.finmath.singleswaprate.products	Provides interface specification and implementation of product based on a single interest rate curve.

Uses of AnnuityMapping in net.finmath.singleswaprate.annuitymapping

Classes in net.finmath.singleswaprate.annuitymapping that implement AnnuityMapping

Modifier and Type	Class	Description
class	BasicPiterbargAnnuityMapping	Implements an annuity mapping following Vladimir Piterbarg's approach.
class	MultiPiterbargAnnuityMapping	Implements an annuity mapping following Vladimir Piterbarg's approach.
class	SimplifiedLinearAnnuityMapping	Provides a light-weight linear annuity mapping.

Methods in net.finmath.singleswaprate.annuitymapping that return AnnuityMapping

Modifier and Type	Method	Description
AnnuityMapping	AnnuityMappingFactory.build(AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model)	Build the annuity mapping.
static AnnuityMapping	AnnuityMappingFactory.buildAnnuityMapping(double strike, Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model)	Build an annuity mapping.
static AnnuityMapping	AnnuityMappingFactory.buildAnnuityMapping(double strike, Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping.AnnuityMappingType type, VolatilityCubeModel model, double lowerBound, double upperBound, int numberOfEvaluationPoints)	Build an annuity mapping.

Uses of AnnuityMapping in net.finmath.singleswaprate.products

Methods in net.finmath.singleswaprate.products that return AnnuityMapping

Modifier and Type	Method	Description
protected abstract AnnuityMapping	AbstractSingleSwapRateProduct.buildAnnuityMapping(VolatilityCubeModel model)	Since most annuity mappings require data from models to be created, but models are only provided at execution of getValue, the product needs to dynamically be able to build its annuity mapping.
protected AnnuityMapping	AnnuityDummyProduct.buildAnnuityMapping(VolatilityCubeModel model)
protected AnnuityMapping	CashSettledPayerSwaption.buildAnnuityMapping(VolatilityCubeModel model)
protected AnnuityMapping	CashSettledReceiverSwaption.buildAnnuityMapping(VolatilityCubeModel model)
protected AnnuityMapping	ConstantMaturitySwap.buildAnnuityMapping(VolatilityCubeModel model)
protected AnnuityMapping	NormalizingDummyProduct.buildAnnuityMapping(VolatilityCubeModel model)

Methods in net.finmath.singleswaprate.products with parameters of type AnnuityMapping

Modifier and Type	Method	Description
double	AbstractSingleSwapRateProduct.getValue(double evaluationTime, AnnuityMapping annuityMapping, VolatilityCubeModel model)	Return the valuation of the product using the given model.
protected abstract double	AbstractSingleSwapRateProduct.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)	Essentially the second derivative of the payoff function.
protected double	AnnuityDummyProduct.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledPayerSwaption.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledReceiverSwaption.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	ConstantMaturitySwap.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	NormalizingDummyProduct.hedgeWeight(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected abstract double	AbstractSingleSwapRateProduct.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)	Payoff function of the product.
protected double	AnnuityDummyProduct.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledPayerSwaption.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledReceiverSwaption.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	ConstantMaturitySwap.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	NormalizingDummyProduct.payoffFunction(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected abstract double	AbstractSingleSwapRateProduct.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)	As some products have a portion of their weight in a singular point, this is portion is split off from the hedgeweight and added after the integration.
protected double	AnnuityDummyProduct.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledPayerSwaption.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	CashSettledReceiverSwaption.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	ConstantMaturitySwap.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)
protected double	NormalizingDummyProduct.singularAddon(double swapRate, AnnuityMapping annuityMapping, VolatilityCubeModel model)

Constructors in net.finmath.singleswaprate.products with parameters of type AnnuityMapping

Constructor	Description
AnnuityDummyProduct(Schedule fixSchedule, Schedule floatSchedule, String discountCurveName, String forwardCurveName, String volatilityCubeName, AnnuityMapping annuityMapping)	Create the dummy product for the given annuity mapping.