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Class SwapForwardMappings

Hierarchy

  • SwapForwardMappings

Index

Methods

Methods

Static annuity

  • compute annuity of arbitrary swap-rate

    Parameters

    Returns Real

Static cmSwapForwardJacobian

  • Returns the dsr[i]/df[j] jacobian between constant maturity swap rates and forward rates

    Parameters

    Returns Matrix

Static cmSwapZedMatrix

  • Returns the Z matrix to switch base from forward to constant maturity swap rates

    Parameters

    Returns Matrix

Static coinitialSwapForwardJacobian

  • Returns the dsr[i]/df[j] jacobian between coinitial swap rates and forward rates

    Parameters

    Returns Matrix

Static coinitialSwapZedMatrix

  • Returns the Z matrix to switch base from forward to coinitial swap rates

    Parameters

    Returns Matrix

Static coterminalSwapForwardJacobian

  • Returns the dsr[i]/df[j] jacobian between coterminal swap rates and forward rates

    Parameters

    Returns Matrix

Static coterminalSwapZedMatrix

  • Returns the Z matrix to switch base from forward to coterminal swap rates

    Parameters

    Returns Matrix

Static swapDerivative

  • compute derivative of swap-rate to underlying forward rate

    Parameters

    Returns Real

Static swaptionImpliedVolatility

  • computes the implied vol of a swaption specified by two indices using the freezing coefficients methdodology. This routine is easy to use but not very efficient and if you want to do a lot of cases, then a different approach should be used.

    Tested in SwapForwardMappingsTest::testSwaptionImpliedVolatility() in swapforwardmappings.cpp

    Parameters

    Returns Real