コード例 #1
0
 /// <summary>
 /// Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
 /// <para>
 /// 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.
 ///
 /// </para>
 /// </summary>
 /// <param name="name">  the surface name </param>
 /// <param name="dayCount">  the day count </param>
 /// <param name="moneynessType">  the moneyness type, prices or rates </param>
 /// <returns> the surface metadata </returns>
 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());
 }
コード例 #2
0
 //-------------------------------------------------------------------------
 /// <summary>
 /// Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
 /// <para>
 /// 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.
 ///
 /// </para>
 /// </summary>
 /// <param name="name">  the surface name </param>
 /// <param name="dayCount">  the day count </param>
 /// <param name="moneynessType">  the moneyness type, prices or rates </param>
 /// <returns> the surface metadata </returns>
 public static SurfaceMetadata normalVolatilityByExpirySimpleMoneyness(string name, DayCount dayCount, MoneynessType moneynessType)
 {
     return(normalVolatilityByExpirySimpleMoneyness(SurfaceName.of(name), dayCount, moneynessType));
 }