Class FxOptionVolatilitiesNode.Builder

    • Method Detail

      • currencyPair

        public FxOptionVolatilitiesNode.Builder currencyPair​(CurrencyPair currencyPair)
        Sets the currency pair.

        The quote must be based on this currency pair and direction.

        Parameters:
        currencyPair - the new value, not null
        Returns:
        this, for chaining, not null
      • label

        public FxOptionVolatilitiesNode.Builder label​(String label)
        Sets the label to use for the node.
        Parameters:
        label - the new value, not null
        Returns:
        this, for chaining, not null
      • spotDateOffset

        public FxOptionVolatilitiesNode.Builder spotDateOffset​(DaysAdjustment spotDateOffset)
        Sets the offset of the spot value date from the valuation date.

        Typically this is the same as the standard convention of the spot date offset of the underlying FX forward.

        Parameters:
        spotDateOffset - the new value, not null
        Returns:
        this, for chaining, not null
      • businessDayAdjustment

        public FxOptionVolatilitiesNode.Builder businessDayAdjustment​(BusinessDayAdjustment businessDayAdjustment)
        Sets the business day adjustment to apply to the delivery date.

        Typically this is the same as the standard convention of the business day adjustment applied to the delivery date of the underlying FX forward.

        Parameters:
        businessDayAdjustment - the new value, not null
        Returns:
        this, for chaining, not null
      • expiryDateOffset

        public FxOptionVolatilitiesNode.Builder expiryDateOffset​(DaysAdjustment expiryDateOffset)
        Sets the offset of the expiry date from the delivery date.

        By default the expiry date offset is the inverse of spotDateOffset. In this case BusinessDayAdjustment in spotDateOffset must be NONE.

        Parameters:
        expiryDateOffset - the new value, not null
        Returns:
        this, for chaining, not null
      • quoteValueType

        public FxOptionVolatilitiesNode.Builder quoteValueType​(ValueType quoteValueType)
        Sets the value type of the quote.
        Parameters:
        quoteValueType - the new value, not null
        Returns:
        this, for chaining, not null
      • tenor

        public FxOptionVolatilitiesNode.Builder tenor​(Tenor tenor)
        Sets the tenor.

        Typically the tenor is coherent to that of the underlying FX forward. Thus it spans the period between spot date to delivery date.

        Parameters:
        tenor - the new value, not null
        Returns:
        this, for chaining, not null