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Quantitative Finance · Glossary

What is Annuity measure?

Definition 5.9 Quantitative Methods · Chapter 5 — Girsanov and Changes of Numeraire

For a swap with fixed payments at T1<⋯<TnT_1 < \dots < T_n and accrual fractions δi\delta_i, the annuity measure QA\mathbb Q^A is the equivalent martingale measure for the numeraire At=∑iδiP(t,Ti)A_t = \sum_i\delta_iP(t, T_i), the annuity of One Quant Book 2, chapter 9.

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