| Package | Description |
|---|---|
| com.opengamma.strata.market.surface |
Definitions of surfaces.
|
| Modifier and Type | Class and Description |
|---|---|
class |
DefaultSurfaceMetadata
Default metadata for a surface.
|
| Modifier and Type | Method and Description |
|---|---|
static SurfaceMetadata |
Surfaces.blackVolatilityByExpiryLogMoneyness(String name,
DayCount dayCount)
Creates metadata for a surface providing Black expiry-log moneyness volatility.
|
static SurfaceMetadata |
Surfaces.blackVolatilityByExpiryLogMoneyness(SurfaceName name,
DayCount dayCount)
Creates metadata for a surface providing Black expiry-log moneyness volatility.
|
static SurfaceMetadata |
Surfaces.blackVolatilityByExpiryStrike(String name,
DayCount dayCount)
Creates metadata for a surface providing Black expiry-strike volatility.
|
static SurfaceMetadata |
Surfaces.blackVolatilityByExpiryStrike(SurfaceName name,
DayCount dayCount)
Creates metadata for a surface providing Black expiry-strike volatility.
|
static SurfaceMetadata |
Surfaces.blackVolatilityByExpiryTenor(String name,
DayCount dayCount)
Creates metadata for a surface providing Black expiry-tenor volatility.
|
static SurfaceMetadata |
Surfaces.blackVolatilityByExpiryTenor(SurfaceName name,
DayCount dayCount)
Creates metadata for a surface providing Black expiry-tenor volatility.
|
SurfaceMetadata |
Surface.getMetadata()
Gets the surface metadata.
|
SurfaceMetadata |
InterpolatedNodalSurface.getMetadata()
Gets the surface metadata.
|
SurfaceMetadata |
DeformedSurface.getMetadata()
Gets the surface metadata.
|
SurfaceMetadata |
ConstantSurface.getMetadata()
Gets the surface metadata.
|
static SurfaceMetadata |
Surfaces.normalVolatilityByExpirySimpleMoneyness(String name,
DayCount dayCount,
MoneynessType moneynessType)
Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
|
static SurfaceMetadata |
Surfaces.normalVolatilityByExpirySimpleMoneyness(SurfaceName name,
DayCount dayCount,
MoneynessType moneynessType)
Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
|
static SurfaceMetadata |
Surfaces.normalVolatilityByExpiryStrike(String name,
DayCount dayCount)
Creates metadata for a surface providing Normal expiry-strike volatility.
|
static SurfaceMetadata |
Surfaces.normalVolatilityByExpiryStrike(SurfaceName name,
DayCount dayCount)
Creates metadata for a surface providing Normal expiry-strike volatility.
|
static SurfaceMetadata |
Surfaces.normalVolatilityByExpiryTenor(String name,
DayCount dayCount)
Creates metadata for a surface providing Normal expiry-tenor volatility.
|
static SurfaceMetadata |
Surfaces.normalVolatilityByExpiryTenor(SurfaceName name,
DayCount dayCount)
Creates metadata for a surface providing Normal expiry-tenor volatility.
|
static SurfaceMetadata |
Surfaces.sabrParameterByExpiryTenor(String name,
DayCount dayCount,
ValueType zType)
Creates metadata for a surface providing a SABR expiry-tenor parameter.
|
static SurfaceMetadata |
Surfaces.sabrParameterByExpiryTenor(SurfaceName name,
DayCount dayCount,
ValueType zType)
Creates metadata for a surface providing a SABR expiry-tenor parameter.
|
SurfaceMetadata |
SurfaceMetadata.withParameterMetadata(List<? extends ParameterMetadata> parameterMetadata)
Returns an instance where the parameter metadata has been changed.
|
| Modifier and Type | Method and Description |
|---|---|
org.joda.beans.MetaProperty<SurfaceMetadata> |
InterpolatedNodalSurface.Meta.metadata()
The meta-property for the
metadata property. |
org.joda.beans.MetaProperty<SurfaceMetadata> |
DeformedSurface.Meta.metadata()
The meta-property for the
metadata property. |
org.joda.beans.MetaProperty<SurfaceMetadata> |
ConstantSurface.Meta.metadata()
The meta-property for the
metadata property. |
| Modifier and Type | Method and Description |
|---|---|
InterpolatedNodalSurface.Builder |
InterpolatedNodalSurface.Builder.metadata(SurfaceMetadata metadata)
Sets the surface metadata.
|
DeformedSurface.Builder |
DeformedSurface.Builder.metadata(SurfaceMetadata metadata)
Sets the surface metadata.
|
static ConstantSurface |
ConstantSurface.of(SurfaceMetadata metadata,
double zValue)
Creates a constant surface with a specific value.
|
static InterpolatedNodalSurface |
InterpolatedNodalSurface.of(SurfaceMetadata metadata,
DoubleArray xValues,
DoubleArray yValues,
DoubleArray zValues,
SurfaceInterpolator interpolator)
Creates an interpolated surface with metadata.
|
static DeformedSurface |
DeformedSurface.of(SurfaceMetadata metadata,
Surface originalSurface,
Function<DoublesPair,ValueDerivatives> deformationFunction)
Obtains an instance.
|
static InterpolatedNodalSurface |
InterpolatedNodalSurface.ofUnsorted(SurfaceMetadata metadata,
DoubleArray xValues,
DoubleArray yValues,
DoubleArray zValues,
SurfaceInterpolator interpolator)
Creates an interpolated surface with metadata, where the values are not sorted.
|
Surface |
Surface.withMetadata(SurfaceMetadata metadata)
Returns a new surface with the specified metadata.
|
NodalSurface |
NodalSurface.withMetadata(SurfaceMetadata metadata)
Returns a new surface with the specified metadata.
|
InterpolatedNodalSurface |
InterpolatedNodalSurface.withMetadata(SurfaceMetadata metadata) |
DeformedSurface |
DeformedSurface.withMetadata(SurfaceMetadata metadata) |
ConstantSurface |
ConstantSurface.withMetadata(SurfaceMetadata metadata) |
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.