annuitymapping.cpp

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/*
 Copyright (C) 2021 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <qle/models/annuitymapping.hpp>
 
namespace QuantExt {
 
Real AnnuityMapping::mapPrime(const Real S) const { return (map(S + h_) - map(S - h_)) / (2.0 * h_); }
Real AnnuityMapping::mapPrime2(const Real S) const { return (map(S + h_) - 2.0 * map(S) + map(S - h_)) / (h_ * h_); }
 
void AnnuityMappingBuilder::update() { notifyObservers(); }
 
} // namespace QuantExt