Package com.opengamma.strata.market.surface

Class Surfaces

java.lang.Object

com.opengamma.strata.market.surface.Surfaces

public final class Surfaces
extends Object

Helper for creating common types of surfaces.

Method Summary

Modifier and Type	Method	Description
static SurfaceMetadata	blackVolatilityByExpiryLogMoneyness(SurfaceName name, DayCount dayCount)	Creates metadata for a surface providing Black expiry-log moneyness volatility.
static SurfaceMetadata	blackVolatilityByExpiryLogMoneyness(String name, DayCount dayCount)	Creates metadata for a surface providing Black expiry-log moneyness volatility.
static SurfaceMetadata	blackVolatilityByExpiryStrike(SurfaceName name, DayCount dayCount)	Creates metadata for a surface providing Black expiry-strike volatility.
static SurfaceMetadata	blackVolatilityByExpiryStrike(String name, DayCount dayCount)	Creates metadata for a surface providing Black expiry-strike volatility.
static SurfaceMetadata	blackVolatilityByExpiryTenor(SurfaceName name, DayCount dayCount)	Creates metadata for a surface providing Black expiry-tenor volatility.
static SurfaceMetadata	blackVolatilityByExpiryTenor(String name, DayCount dayCount)	Creates metadata for a surface providing Black expiry-tenor volatility.
static SurfaceMetadata	normalVolatilityByExpirySimpleMoneyness(SurfaceName name, DayCount dayCount, MoneynessType moneynessType)	Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
static SurfaceMetadata	normalVolatilityByExpirySimpleMoneyness(String name, DayCount dayCount, MoneynessType moneynessType)	Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
static SurfaceMetadata	normalVolatilityByExpiryStrike(SurfaceName name, DayCount dayCount)	Creates metadata for a surface providing Normal expiry-strike volatility.
static SurfaceMetadata	normalVolatilityByExpiryStrike(String name, DayCount dayCount)	Creates metadata for a surface providing Normal expiry-strike volatility.
static SurfaceMetadata	normalVolatilityByExpiryTenor(SurfaceName name, DayCount dayCount)	Creates metadata for a surface providing Normal expiry-tenor volatility.
static SurfaceMetadata	normalVolatilityByExpiryTenor(String name, DayCount dayCount)	Creates metadata for a surface providing Normal expiry-tenor volatility.
static SurfaceMetadata	sabrParameterByExpiryTenor(SurfaceName name, DayCount dayCount, ValueType zType)	Creates metadata for a surface providing a SABR expiry-tenor parameter.
static SurfaceMetadata	sabrParameterByExpiryTenor(String name, DayCount dayCount, ValueType zType)	Creates metadata for a surface providing a SABR expiry-tenor parameter.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

blackVolatilityByExpiryTenor

public static SurfaceMetadata blackVolatilityByExpiryTenor(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(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(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(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(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(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(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