/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.surface;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.model.MoneynessType;
/**
* Helper for creating common types of surfaces.
*/
public final class Surfaces {
/**
* Restricted constructor.
*/
private Surfaces() {
}
//-------------------------------------------------------------------------
/**
* Creates metadata for a surface providing Black expiry-tenor volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @return the surface metadata
*/
public static SurfaceMetadata blackVolatilityByExpiryTenor(String name, DayCount dayCount) {
return blackVolatilityByExpiryTenor(SurfaceName.of(name), dayCount);
}
/**
* Creates metadata for a surface providing Black expiry-tenor volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @return the surface metadata
*/
public static SurfaceMetadata blackVolatilityByExpiryTenor(SurfaceName name, DayCount dayCount) {
return DefaultSurfaceMetadata.builder()
.surfaceName(name)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.BLACK_VOLATILITY)
.dayCount(dayCount)
.build();
}
//-------------------------------------------------------------------------
/**
* Creates metadata for a surface providing Black expiry-strike volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @return the surface metadata
*/
public static SurfaceMetadata blackVolatilityByExpiryStrike(String name, DayCount dayCount) {
return blackVolatilityByExpiryStrike(SurfaceName.of(name), dayCount);
}
/**
* Creates metadata for a surface providing Black expiry-strike volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @return the surface metadata
*/
public static SurfaceMetadata blackVolatilityByExpiryStrike(SurfaceName name, DayCount dayCount) {
return DefaultSurfaceMetadata.builder()
.surfaceName(name)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.STRIKE)
.zValueType(ValueType.BLACK_VOLATILITY)
.dayCount(dayCount)
.build();
}
//-------------------------------------------------------------------------
/**
* Creates metadata for a surface providing Black expiry-log moneyness volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @return the surface metadata
*/
public static SurfaceMetadata blackVolatilityByExpiryLogMoneyness(String name, DayCount dayCount) {
return blackVolatilityByExpiryLogMoneyness(SurfaceName.of(name), dayCount);
}
/**
* Creates metadata for a surface providing Black expiry-log moneyness volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @return the surface metadata
*/
public static SurfaceMetadata blackVolatilityByExpiryLogMoneyness(SurfaceName name, DayCount dayCount) {
return DefaultSurfaceMetadata.builder()
.surfaceName(name)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.LOG_MONEYNESS)
.zValueType(ValueType.BLACK_VOLATILITY)
.dayCount(dayCount)
.build();
}
//-------------------------------------------------------------------------
/**
* Creates metadata for a surface providing Normal expiry-tenor volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @return the surface metadata
*/
public static SurfaceMetadata normalVolatilityByExpiryTenor(String name, DayCount dayCount) {
return normalVolatilityByExpiryTenor(SurfaceName.of(name), dayCount);
}
/**
* Creates metadata for a surface providing Normal expiry-tenor volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @return the surface metadata
*/
public static SurfaceMetadata normalVolatilityByExpiryTenor(SurfaceName name, DayCount dayCount) {
return DefaultSurfaceMetadata.builder()
.surfaceName(name)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.NORMAL_VOLATILITY)
.dayCount(dayCount)
.build();
}
//-------------------------------------------------------------------------
/**
* Creates metadata for a surface providing Normal expiry-strike volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @return the surface metadata
*/
public static SurfaceMetadata normalVolatilityByExpiryStrike(String name, DayCount dayCount) {
return normalVolatilityByExpiryStrike(SurfaceName.of(name), dayCount);
}
/**
* Creates metadata for a surface providing Normal expiry-strike volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @return the surface metadata
*/
public static SurfaceMetadata normalVolatilityByExpiryStrike(SurfaceName name, DayCount dayCount) {
return DefaultSurfaceMetadata.builder()
.surfaceName(name)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.STRIKE)
.zValueType(ValueType.NORMAL_VOLATILITY)
.dayCount(dayCount)
.build();
}
//-------------------------------------------------------------------------
/**
* Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @param moneynessType the moneyness type, prices or rates
* @return the surface metadata
*/
public static SurfaceMetadata normalVolatilityByExpirySimpleMoneyness(
String name,
DayCount dayCount,
MoneynessType moneynessType) {
return normalVolatilityByExpirySimpleMoneyness(SurfaceName.of(name), dayCount, moneynessType);
}
/**
* Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
* <p>
* 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.
*
* @param name the surface name
* @param dayCount the day count
* @param moneynessType the moneyness type, prices or rates
* @return the surface metadata
*/
public static SurfaceMetadata normalVolatilityByExpirySimpleMoneyness(
SurfaceName name,
DayCount dayCount,
MoneynessType moneynessType) {
return DefaultSurfaceMetadata.builder()
.surfaceName(name)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.SIMPLE_MONEYNESS)
.zValueType(ValueType.NORMAL_VOLATILITY)
.dayCount(dayCount)
.addInfo(SurfaceInfoType.MONEYNESS_TYPE, moneynessType)
.build();
}
//-------------------------------------------------------------------------
/**
* Creates metadata for a surface providing a SABR expiry-tenor parameter.
* <p>
* The x-values represent time to expiry year fractions as defined by the specified day count.
* The y-values represent tenor year fractions.
*
* @param name the surface name
* @param dayCount the day count
* @param zType the z-value type, which must be one of the four SABR values
* @return the surface metadata
*/
public static SurfaceMetadata sabrParameterByExpiryTenor(
String name,
DayCount dayCount,
ValueType zType) {
return sabrParameterByExpiryTenor(SurfaceName.of(name), dayCount, zType);
}
/**
* Creates metadata for a surface providing a SABR expiry-tenor parameter.
* <p>
* The x-values represent time to expiry year fractions as defined by the specified day count.
* The y-values represent tenor year fractions.
*
* @param name the surface name
* @param dayCount the day count
* @param zType the z-value type, which must be one of the four SABR values
* @return the surface metadata
*/
public static SurfaceMetadata sabrParameterByExpiryTenor(
SurfaceName name,
DayCount dayCount,
ValueType zType) {
if (!zType.equals(ValueType.SABR_ALPHA) && !zType.equals(ValueType.SABR_BETA) &&
!zType.equals(ValueType.SABR_RHO) && !zType.equals(ValueType.SABR_NU)) {
throw new IllegalArgumentException("SABR z-value type must be SabrAlpha, SabrBeta, SabrRho or SabrNu");
}
return DefaultSurfaceMetadata.builder()
.surfaceName(name)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.YEAR_FRACTION)
.zValueType(zType)
.dayCount(dayCount)
.build();
}
}