/** * 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); }
public void sabrParameterByExpiryTenor_surfaceName() { SurfaceMetadata test = Surfaces.sabrParameterByExpiryTenor(SURFACE_NAME, ACT_360, ValueType.SABR_BETA); SurfaceMetadata expected = DefaultSurfaceMetadata.builder() .surfaceName(SURFACE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.YEAR_FRACTION) .zValueType(ValueType.SABR_BETA) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
public void sabrParameterByExpiryTenor_string() { SurfaceMetadata test = Surfaces.sabrParameterByExpiryTenor(NAME, ACT_360, ValueType.SABR_BETA); SurfaceMetadata expected = DefaultSurfaceMetadata.builder() .surfaceName(SURFACE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.YEAR_FRACTION) .zValueType(ValueType.SABR_BETA) .dayCount(ACT_360) .build(); assertEquals(test, expected); }
SurfaceMetadata metadataAlpha = Surfaces.sabrParameterByExpiryTenor( name.getName() + "-Alpha", dayCount, ValueType.SABR_ALPHA) .withParameterMetadata(parameterMetadata); SurfaceMetadata metadataRho = Surfaces.sabrParameterByExpiryTenor( name.getName() + "-Rho", dayCount, ValueType.SABR_RHO) .withParameterMetadata(parameterMetadata); SurfaceMetadata metadataNu = Surfaces.sabrParameterByExpiryTenor( name.getName() + "-Nu", dayCount, ValueType.SABR_NU) .withParameterMetadata(parameterMetadata);
SurfaceMetadata metadataAlpha = Surfaces.sabrParameterByExpiryTenor( name.getName() + "-Alpha", dayCount, ValueType.SABR_ALPHA) .withParameterMetadata(parameterMetadata);