/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.volatility.surface.black;
/**
*
*/
public class BlackVolatilitySurfacePropertyNamesAndValues {
/** Property name for {@link ValuePropertyNames#SURFACE_CALCULATION_METHOD}
* indicating that an interpolated Black lognormal volatility surface was used
*/
public static final String INTERPOLATED_BLACK_LOGNORMAL = "InterpolatedBlackLognormalSurface";
// Properties and names for the time axis
/** Property name for the time axis parameterization */
public static final String PROPERTY_TIME_AXIS = "TimeAxis";
/** Use log times on the time axis */
public static final String LOG_TIME = "LogTime";
/** Use linear times on the time axis */
public static final String LINEAR_TIME = "LinearTime";
// Properties and names for the y axis
/** Property name for the y axis parameterization */
public static final String PROPERTY_Y_AXIS = "YAxis";
/** Use log y values */
public static final String LOG_Y = "LogY";
/** Use linear y values */
public static final String LINEAR_Y = "LinearY";
// Properties and names for the volatility transform
/** Property name for the volatility transform */
public static final String PROPERTY_VOLATILITY_TRANSFORM = "VolatilityTransform";
/** Use integrated variance */
public static final String INTEGRATED_VARIANCE = "IntegratedVariance";
/** Use variance */
public static final String VARIANCE = "Variance";
// Properties for the time interpolator
/** Property name for the time interpolator */
public static final String PROPERTY_TIME_INTERPOLATOR = "TimeInterpolator";
/** Property name for the left time extrapolator */
public static final String PROPERTY_TIME_LEFT_EXTRAPOLATOR = "TimeLeftExtrapolator";
/** Property name for the right time extrapolator */
public static final String PROPERTY_TIME_RIGHT_EXTRAPOLATOR = "TimeRightExtrapolator";
// Properties for the smile interpolator
/** Property name for the smile interpolator */
public static final String PROPERTY_SMILE_INTERPOLATOR = "SmileInterpolator";
/** Use spline interpolation */
public static final String SPLINE = "Spline";
/** Use mixed log-normal interpolation */
public static final String MIXED_LOG_NORMAL = "MixedLogNormal";
/** Use SABR interpolation */
public static final String SABR = "SABR";
// Properties for spline smile interpolation
/** Property name for the spline interpolator */
public static final String PROPERTY_SPLINE_INTERPOLATOR = "SplineInterpolator";
/** Property name for the left spline extrapolator */
public static final String PROPERTY_SPLINE_LEFT_EXTRAPOLATOR = "SplineLeftExtrapolator";
/** Property name for the right spline extrapolator */
public static final String PROPERTY_SPLINE_RIGHT_EXTRAPOLATOR = "SplineRightExtrapolator";
// Properties and values for the spline smile extrapolation, which uses ShiftedLogNormalTailExtrapolationFitter
/** Property name for the choice of whether to (a) throw an exception if the extrapolator fails
* to fit a ShiftedLognormal model to the vol and gradient of the last strike,
* (b) to reduce the slope until a fit is found or
* (c) to set slope to zero, such that exterior volatilities equal the last marked value
*/
public static final String PROPERTY_SPLINE_EXTRAPOLATOR_FAILURE = "SplineExtrapolatorFailure";
/** Selection *Quiet* will throw away a volatility if ShiftedLogNormalTailExtrapolationFitter fails and try the next nearest strike until it fits */
public static final String QUIET_SPLINE_EXTRAPOLATOR_FAILURE = "Quiet";
/** Selection *Exception* puts the onus of shepherding the data on whoever provides marks */
public static final String EXCEPTION_SPLINE_EXTRAPOLATOR_FAILURE = "Exception";
/** Selection *Flat* means that volatilities in the exterior will equal the vol at the nearest boundary*/
public static final String FLAT_SPLINE_EXTRAPOLATOR_FAILURE = "Flat";
// Properties for mixed log normal interpolation
/** Property name for the weighting function to be used in mixed log-normal interpolation */
public static final String PROPERTY_MIXED_LOG_NORMAL_WEIGHTING_FUNCTION = "MixedLogNormalWeightingFunction";
// Properties for SABR interpolation
/** Use an externally-supplied beta value for SABR interpolation */
public static final String PROPERTY_SABR_USE_EXTERNAL_BETA = "SABRUseExternalBeta";
/** Property name for the externally-supplied value of beta */
public static final String PROPERTY_SABR_EXTERNAL_BETA = "SABRBeta";
/** Property name for the variation of the SABR model to be used */
public static final String PROPERTY_SABR_MODEL = "SABRModel";
/** Property name for the weighting function to be used in SABR interpolation */
public static final String PROPERTY_SABR_WEIGHTING_FUNCTION = "SABRWeightingFunction";
}