Class Surfaces


  • public final class Surfaces
    extends java.lang.Object
    Helper for creating common types of surfaces.
    • Method Detail

      • blackVolatilityByExpiryTenor

        public static SurfaceMetadata blackVolatilityByExpiryTenor​(java.lang.String name,
                                                                   DayCount dayCount)
        Creates metadata for a surface providing Black expiry-tenor volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent tenor year fractions. The z-values represent Black volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        Returns:
        the surface metadata
      • blackVolatilityByExpiryTenor

        public static SurfaceMetadata blackVolatilityByExpiryTenor​(SurfaceName name,
                                                                   DayCount dayCount)
        Creates metadata for a surface providing Black expiry-tenor volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent tenor year fractions. The z-values represent Black volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        Returns:
        the surface metadata
      • blackVolatilityByExpiryStrike

        public static SurfaceMetadata blackVolatilityByExpiryStrike​(java.lang.String name,
                                                                    DayCount dayCount)
        Creates metadata for a surface providing Black expiry-strike volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent strike The z-values represent Black volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        Returns:
        the surface metadata
      • blackVolatilityByExpiryStrike

        public static SurfaceMetadata blackVolatilityByExpiryStrike​(SurfaceName name,
                                                                    DayCount dayCount)
        Creates metadata for a surface providing Black expiry-strike volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent strike The z-values represent Black volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        Returns:
        the surface metadata
      • blackVolatilityByExpiryLogMoneyness

        public static SurfaceMetadata blackVolatilityByExpiryLogMoneyness​(java.lang.String name,
                                                                          DayCount dayCount)
        Creates metadata for a surface providing Black expiry-log moneyness volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent log-moneyness The z-values represent Black volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        Returns:
        the surface metadata
      • blackVolatilityByExpiryLogMoneyness

        public static SurfaceMetadata blackVolatilityByExpiryLogMoneyness​(SurfaceName name,
                                                                          DayCount dayCount)
        Creates metadata for a surface providing Black expiry-log moneyness volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent log-moneyness The z-values represent Black volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        Returns:
        the surface metadata
      • normalVolatilityByExpiryTenor

        public static SurfaceMetadata normalVolatilityByExpiryTenor​(java.lang.String name,
                                                                    DayCount dayCount)
        Creates metadata for a surface providing Normal expiry-tenor volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent tenor year fractions. The z-values represent Normal volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        Returns:
        the surface metadata
      • normalVolatilityByExpiryTenor

        public static SurfaceMetadata normalVolatilityByExpiryTenor​(SurfaceName name,
                                                                    DayCount dayCount)
        Creates metadata for a surface providing Normal expiry-tenor volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent tenor year fractions. The z-values represent Normal volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        Returns:
        the surface metadata
      • normalVolatilityByExpiryStrike

        public static SurfaceMetadata normalVolatilityByExpiryStrike​(java.lang.String name,
                                                                     DayCount dayCount)
        Creates metadata for a surface providing Normal expiry-strike volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent strike The z-values represent Normal volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        Returns:
        the surface metadata
      • normalVolatilityByExpiryStrike

        public static SurfaceMetadata normalVolatilityByExpiryStrike​(SurfaceName name,
                                                                     DayCount dayCount)
        Creates metadata for a surface providing Normal expiry-strike volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent strike The z-values represent Normal volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        Returns:
        the surface metadata
      • normalVolatilityByExpirySimpleMoneyness

        public static SurfaceMetadata normalVolatilityByExpirySimpleMoneyness​(java.lang.String name,
                                                                              DayCount dayCount,
                                                                              MoneynessType moneynessType)
        Creates metadata for a surface providing Normal expiry-simple moneyness volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent simple moneyness. The z-values represent Normal volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        moneynessType - the moneyness type, prices or rates
        Returns:
        the surface metadata
      • normalVolatilityByExpirySimpleMoneyness

        public static SurfaceMetadata normalVolatilityByExpirySimpleMoneyness​(SurfaceName name,
                                                                              DayCount dayCount,
                                                                              MoneynessType moneynessType)
        Creates metadata for a surface providing Normal expiry-simple moneyness volatility.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent simple moneyness. The z-values represent Normal volatility.

        Parameters:
        name - the surface name
        dayCount - the day count
        moneynessType - the moneyness type, prices or rates
        Returns:
        the surface metadata
      • sabrParameterByExpiryTenor

        public static SurfaceMetadata sabrParameterByExpiryTenor​(java.lang.String name,
                                                                 DayCount dayCount,
                                                                 ValueType zType)
        Creates metadata for a surface providing a SABR expiry-tenor parameter.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent tenor year fractions.

        Parameters:
        name - the surface name
        dayCount - the day count
        zType - the z-value type, which must be one of the four SABR values
        Returns:
        the surface metadata
      • sabrParameterByExpiryTenor

        public static SurfaceMetadata sabrParameterByExpiryTenor​(SurfaceName name,
                                                                 DayCount dayCount,
                                                                 ValueType zType)
        Creates metadata for a surface providing a SABR expiry-tenor parameter.

        The x-values represent time to expiry year fractions as defined by the specified day count. The y-values represent tenor year fractions.

        Parameters:
        name - the surface name
        dayCount - the day count
        zType - the z-value type, which must be one of the four SABR values
        Returns:
        the surface metadata