Uses of Interface
com.opengamma.strata.market.surface.Surface

Packages that use Surface

Package	Description
com.opengamma.strata.market.surface	Definitions of surfaces.
com.opengamma.strata.pricer.bond	Calculators for bonds.
com.opengamma.strata.pricer.capfloor	Calculators for Ibor cap-floor.
com.opengamma.strata.pricer.fxopt	Calculators for FX options.
com.opengamma.strata.pricer.impl.volatility.local
com.opengamma.strata.pricer.index	Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).
com.opengamma.strata.pricer.model	Common code for model pricing.
com.opengamma.strata.pricer.swaption	Calculators for swaptions.

Uses of Surface in com.opengamma.strata.market.surface

Subinterfaces of Surface in com.opengamma.strata.market.surface

Modifier and Type	Interface	Description
interface	NodalSurface	A surface based on double nodal points.

Classes in com.opengamma.strata.market.surface that implement Surface

Modifier and Type	Class	Description
class	ConstantSurface	A surface based on a single constant value.
class	DeformedSurface	The deformed surface.
class	InterpolatedNodalSurface	A surface based on interpolation between a number of nodal points.

Methods in com.opengamma.strata.market.surface that return Surface

Modifier and Type	Method	Description
Surface	DeformedSurface.getOriginalSurface()	Gets the original surface.
Surface	Surface.withMetadata(SurfaceMetadata metadata)	Returns a new surface with the specified metadata.
Surface	DeformedSurface.withParameter(int parameterIndex, double newValue)
Surface	Surface.withParameter(int parameterIndex, double newValue)
default Surface	Surface.withPerturbation(ParameterPerturbation perturbation)

Methods in com.opengamma.strata.market.surface that return types with arguments of type Surface

Modifier and Type	Method	Description
Class<Surface>	SurfaceName.getMarketDataType()
org.joda.beans.MetaProperty<Surface>	DeformedSurface.Meta.originalSurface()	The meta-property for the originalSurface property.

Methods in com.opengamma.strata.market.surface with parameters of type Surface

Modifier and Type	Method	Description
static DeformedSurface	DeformedSurface.of(SurfaceMetadata metadata, Surface originalSurface, Function<DoublesPair,ValueDerivatives> deformationFunction)	Obtains an instance.
DeformedSurface.Builder	DeformedSurface.Builder.originalSurface(Surface originalSurface)	Sets the original surface.

Uses of Surface in com.opengamma.strata.pricer.bond

Methods in com.opengamma.strata.pricer.bond that return Surface

Modifier and Type	Method	Description
Surface	BlackBondFutureExpiryLogMoneynessVolatilities.getSurface()	Gets the Black volatility surface.
Surface	NormalBondYieldExpiryDurationVolatilities.getSurface()	Gets the normal volatility surface.

Methods in com.opengamma.strata.pricer.bond that return types with arguments of type Surface

Modifier and Type	Method	Description
org.joda.beans.MetaProperty<Surface>	BlackBondFutureExpiryLogMoneynessVolatilities.Meta.surface()	The meta-property for the surface property.
org.joda.beans.MetaProperty<Surface>	NormalBondYieldExpiryDurationVolatilities.Meta.surface()	The meta-property for the surface property.

Methods in com.opengamma.strata.pricer.bond with parameters of type Surface

Modifier and Type	Method	Description
static NormalBondYieldExpiryDurationVolatilities	NormalBondYieldExpiryDurationVolatilities.of(Currency currency, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.
BlackBondFutureExpiryLogMoneynessVolatilities.Builder	BlackBondFutureExpiryLogMoneynessVolatilities.Builder.surface(Surface surface)	Sets the Black volatility surface.

Uses of Surface in com.opengamma.strata.pricer.capfloor

Methods in com.opengamma.strata.pricer.capfloor that return Surface

Modifier and Type	Method	Description
Surface	BlackIborCapletFloorletExpiryStrikeVolatilities.getSurface()	Gets the Black volatility surface.
Surface	NormalIborCapletFloorletExpiryStrikeVolatilities.getSurface()	Gets the normal volatility surface.
Surface	ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.getSurface()	Gets the Black volatility surface.

Methods in com.opengamma.strata.pricer.capfloor that return types with arguments of type Surface

Modifier and Type	Method	Description
org.joda.beans.MetaProperty<Surface>	BlackIborCapletFloorletExpiryStrikeVolatilities.Meta.surface()	The meta-property for the surface property.
org.joda.beans.MetaProperty<Surface>	NormalIborCapletFloorletExpiryStrikeVolatilities.Meta.surface()	The meta-property for the surface property.
org.joda.beans.MetaProperty<Surface>	ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta.surface()	The meta-property for the surface property.

Methods in com.opengamma.strata.pricer.capfloor with parameters of type Surface

Modifier and Type	Method	Description
static BlackIborCapletFloorletExpiryStrikeVolatilities	BlackIborCapletFloorletExpiryStrikeVolatilities.of(IborIndex index, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.
static NormalIborCapletFloorletExpiryStrikeVolatilities	NormalIborCapletFloorletExpiryStrikeVolatilities.of(IborIndex index, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.
static ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities	ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.of(IborIndex index, ZonedDateTime valuationDateTime, Surface surface, Curve shiftCurve)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.

Uses of Surface in com.opengamma.strata.pricer.fxopt

Methods in com.opengamma.strata.pricer.fxopt that return Surface

Modifier and Type	Method	Description
Surface	BlackFxOptionSurfaceVolatilities.getSurface()	Gets the Black volatility surface.

Methods in com.opengamma.strata.pricer.fxopt that return types with arguments of type Surface

Modifier and Type	Method	Description
org.joda.beans.MetaProperty<Surface>	BlackFxOptionSurfaceVolatilities.Meta.surface()	The meta-property for the surface property.

Methods in com.opengamma.strata.pricer.fxopt with parameters of type Surface

Modifier and Type	Method	Description
static BlackFxOptionSurfaceVolatilities	BlackFxOptionSurfaceVolatilities.of(CurrencyPair currencyPair, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.
static BlackFxOptionSurfaceVolatilities	BlackFxOptionSurfaceVolatilities.of(FxOptionVolatilitiesName name, CurrencyPair currencyPair, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.
BlackFxOptionSurfaceVolatilities.Builder	BlackFxOptionSurfaceVolatilities.Builder.surface(Surface surface)	Sets the Black volatility surface.

Uses of Surface in com.opengamma.strata.pricer.impl.volatility.local

Methods in com.opengamma.strata.pricer.impl.volatility.local that return Surface

Modifier and Type	Method	Description
Surface	LocalVolatilityCalculator.localVolatilityFromImpliedVolatility(Surface impliedVolatilitySurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate)	Computes local volatility surface from implied volatility surface.
Surface	LocalVolatilityCalculator.localVolatilityFromPrice(Surface callPriceSurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate)	Computes local volatility surface from call price surface.

Methods in com.opengamma.strata.pricer.impl.volatility.local with parameters of type Surface

Modifier and Type	Method	Description
DeformedSurface	DupireLocalVolatilityCalculator.localVolatilityFromImpliedVolatility(Surface impliedVolatilitySurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate)
InterpolatedNodalSurface	ImpliedTrinomialTreeLocalVolatilityCalculator.localVolatilityFromImpliedVolatility(Surface impliedVolatilitySurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate)
Surface	LocalVolatilityCalculator.localVolatilityFromImpliedVolatility(Surface impliedVolatilitySurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate)	Computes local volatility surface from implied volatility surface.
DeformedSurface	DupireLocalVolatilityCalculator.localVolatilityFromPrice(Surface callPriceSurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate)
InterpolatedNodalSurface	ImpliedTrinomialTreeLocalVolatilityCalculator.localVolatilityFromPrice(Surface callPriceSurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate)
Surface	LocalVolatilityCalculator.localVolatilityFromPrice(Surface callPriceSurface, double spot, Function<Double,Double> interestRate, Function<Double,Double> dividendRate)	Computes local volatility surface from call price surface.

Uses of Surface in com.opengamma.strata.pricer.index

Methods in com.opengamma.strata.pricer.index that return Surface

Modifier and Type	Method	Description
Surface	NormalIborFutureOptionExpirySimpleMoneynessVolatilities.getSurface()	Gets the normal volatility surface.

Methods in com.opengamma.strata.pricer.index that return types with arguments of type Surface

Modifier and Type	Method	Description
org.joda.beans.MetaProperty<Surface>	NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta.surface()	The meta-property for the surface property.

Methods in com.opengamma.strata.pricer.index with parameters of type Surface

Modifier and Type	Method	Description
static NormalIborFutureOptionExpirySimpleMoneynessVolatilities	NormalIborFutureOptionExpirySimpleMoneynessVolatilities.of(IborIndex index, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the volatility surface and the date-time for which it is valid.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder	NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder.surface(Surface surface)	Sets the normal volatility surface.

Uses of Surface in com.opengamma.strata.pricer.model

Methods in com.opengamma.strata.pricer.model that return Surface

Modifier and Type	Method	Description
Surface	SabrInterestRateParameters.getAlphaSurface()	Gets the alpha (volatility level) surface.
Surface	SabrInterestRateParameters.getBetaSurface()	Gets the beta (elasticity) surface.
Surface	SabrInterestRateParameters.getNuSurface()	Gets the nu (volatility of volatility) surface.
Surface	SabrInterestRateParameters.getRhoSurface()	Gets the rho (correlation) surface.
Surface	SabrInterestRateParameters.getShiftSurface()	Gets the shift parameter of shifted SABR model.

Methods in com.opengamma.strata.pricer.model with parameters of type Surface

Modifier and Type	Method	Description
static SabrInterestRateParameters	SabrInterestRateParameters.of(Surface alphaSurface, Surface betaSurface, Surface rhoSurface, Surface nuSurface, Surface shiftSurface, SabrVolatilityFormula sabrFormula)	Obtains an instance with shift from nodal surfaces and volatility function provider.
static SabrInterestRateParameters	SabrInterestRateParameters.of(Surface alphaSurface, Surface betaSurface, Surface rhoSurface, Surface nuSurface, SabrVolatilityFormula sabrFormula)	Obtains an instance without shift from nodal surfaces and volatility function provider.

Uses of Surface in com.opengamma.strata.pricer.swaption

Methods in com.opengamma.strata.pricer.swaption that return Surface

Modifier and Type	Method	Description
Surface	BlackSwaptionExpiryTenorVolatilities.getSurface()	Gets the Black volatility surface.
Surface	NormalSwaptionExpirySimpleMoneynessVolatilities.getSurface()	Gets the normal volatility surface.
Surface	NormalSwaptionExpiryStrikeVolatilities.getSurface()	Gets the normal volatility surface.
Surface	NormalSwaptionExpiryTenorVolatilities.getSurface()	Gets the normal volatility surface.

Methods in com.opengamma.strata.pricer.swaption that return types with arguments of type Surface

Modifier and Type	Method	Description
org.joda.beans.MetaProperty<Surface>	BlackSwaptionExpiryTenorVolatilities.Meta.surface()	The meta-property for the surface property.
org.joda.beans.MetaProperty<Surface>	NormalSwaptionExpirySimpleMoneynessVolatilities.Meta.surface()	The meta-property for the surface property.
org.joda.beans.MetaProperty<Surface>	NormalSwaptionExpiryStrikeVolatilities.Meta.surface()	The meta-property for the surface property.
org.joda.beans.MetaProperty<Surface>	NormalSwaptionExpiryTenorVolatilities.Meta.surface()	The meta-property for the surface property.

Methods in com.opengamma.strata.pricer.swaption with parameters of type Surface

Modifier and Type	Method	Description
SabrParametersSwaptionVolatilities	SabrSwaptionCalibrator.calibrateWithFixedBetaAndShift(SabrSwaptionDefinition definition, ZonedDateTime calibrationDateTime, TenorRawOptionData data, RatesProvider ratesProvider, Surface betaSurface, Surface shiftSurface)	Calibrate SABR parameters to a set of raw swaption data.
SabrParametersSwaptionVolatilities	SabrSwaptionCalibrator.calibrateWithFixedBetaAndShift(SabrSwaptionDefinition definition, ZonedDateTime calibrationDateTime, TenorRawOptionData data, RatesProvider ratesProvider, Surface betaSurface, Surface shiftSurface, boolean stopOnMathException)	Calibrate SABR parameters to a set of raw swaption data.
static BlackSwaptionExpiryTenorVolatilities	BlackSwaptionExpiryTenorVolatilities.of(FixedFloatSwapConvention convention, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.
static NormalSwaptionExpirySimpleMoneynessVolatilities	NormalSwaptionExpirySimpleMoneynessVolatilities.of(FixedFloatSwapConvention convention, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.
static NormalSwaptionExpiryStrikeVolatilities	NormalSwaptionExpiryStrikeVolatilities.of(FixedFloatSwapConvention convention, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.
static NormalSwaptionExpiryTenorVolatilities	NormalSwaptionExpiryTenorVolatilities.of(FixedFloatSwapConvention convention, ZonedDateTime valuationDateTime, Surface surface)	Obtains an instance from the implied volatility surface and the date-time for which it is valid.