/// <summary>
/// Creates metadata for a surface providing a SABR expiry-tenor parameter.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent tenor year fractions.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="zType"> the z-value type, which must be one of the four SABR values </param>
/// <returns> the surface metadata </returns>
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 System.ArgumentException("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());
}
public virtual void test_of()
{
SurfaceName test = SurfaceName.of("Foo");
assertEquals(test.Name, "Foo");
assertEquals(test.MarketDataType, typeof(Surface));
assertEquals(test.ToString(), "Foo");
assertEquals(test.CompareTo(SurfaceName.of("Goo")) < 0, true);
}
/// <summary>
/// Restricted copy constructor.
/// </summary>
/// <param name="beanToCopy"> the bean to copy from </param>
internal DefaultSurfaceMetadataBuilder(DefaultSurfaceMetadata beanToCopy)
{
this.surfaceName_Renamed = beanToCopy.SurfaceName;
this.xValueType_Renamed = beanToCopy.XValueType;
this.yValueType_Renamed = beanToCopy.YValueType;
this.zValueType_Renamed = beanToCopy.ZValueType;
//JAVA TO C# CONVERTER TODO TASK: There is no .NET Dictionary equivalent to the Java 'putAll' method:
this.info.putAll(beanToCopy.Info);
this.parameterMetadata_Renamed = beanToCopy.ParameterMetadata.orElse(null);
}
//-----------------------------------------------------------------------
/// <summary>
/// Sets the surface name.
/// </summary>
/// <param name="surfaceName"> the surface name </param>
/// <returns> this, for chaining </returns>
public DefaultSurfaceMetadataBuilder surfaceName(string surfaceName)
{
this.surfaceName_Renamed = SurfaceName.of(surfaceName);
return(this);
}
/// <summary>
/// Creates metadata for a surface providing Black expiry-strike volatility.
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
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());
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates metadata for a surface providing Black expiry-strike volatility.
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata blackVolatilityByExpiryStrike(string name, DayCount dayCount)
{
return(blackVolatilityByExpiryStrike(SurfaceName.of(name), dayCount));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates metadata for a surface providing a SABR expiry-tenor parameter.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent tenor year fractions.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="zType"> the z-value type, which must be one of the four SABR values </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata sabrParameterByExpiryTenor(string name, DayCount dayCount, ValueType zType)
{
return(sabrParameterByExpiryTenor(SurfaceName.of(name), dayCount, zType));
}
/// <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());
}
/// <summary>
/// Creates metadata for a surface providing Normal expiry-tenor volatility.
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
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());
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates metadata for a surface providing Normal expiry-tenor volatility.
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata normalVolatilityByExpiryTenor(string name, DayCount dayCount)
{
return(normalVolatilityByExpiryTenor(SurfaceName.of(name), dayCount));
}
/// <summary>
/// Creates metadata for a surface providing Black expiry-log moneyness volatility.
/// <para>
/// 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.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
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());
}
/// <summary>
/// Creates the metadata.
/// <para>
/// No information will be available for the x-values, y-values, z-values or parameters.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <returns> the metadata </returns>
public static DefaultSurfaceMetadata of(SurfaceName name)
{
return(new DefaultSurfaceMetadata(name, ValueType.UNKNOWN, ValueType.UNKNOWN, ValueType.UNKNOWN, ImmutableMap.of(), null));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates the metadata.
/// <para>
/// No information will be available for the x-values, y-values, z-values or parameters.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <returns> the metadata </returns>
public static DefaultSurfaceMetadata of(string name)
{
return(of(SurfaceName.of(name)));
}
/// <summary>
/// Creates a constant surface with a specific value.
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="zValue"> the constant z-value </param>
/// <returns> the surface </returns>
public static ConstantSurface of(SurfaceName name, double zValue)
{
return(new ConstantSurface(DefaultSurfaceMetadata.of(name), zValue));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates a constant surface with a specific value.
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="zValue"> the constant z-value </param>
/// <returns> the surface </returns>
public static ConstantSurface of(string name, double zValue)
{
return(of(SurfaceName.of(name), zValue));
}
/// <summary>
/// Sets the surface name.
/// </summary>
/// <param name="surfaceName"> the surface name </param>
/// <returns> this, for chaining </returns>
public DefaultSurfaceMetadataBuilder surfaceName(SurfaceName surfaceName)
{
this.surfaceName_Renamed = ArgChecker.notNull(surfaceName, "surfaceName");
return(this);
}
//-------------------------------------------------------------------------
/// <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));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
DefaultSurfaceMetadata test = DefaultSurfaceMetadata.of(SURFACE_NAME);
coverImmutableBean(test);
DefaultSurfaceMetadata test2 = DefaultSurfaceMetadata.builder().surfaceName(SurfaceName.of("Test")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).zValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).parameterMetadata(ParameterMetadata.empty()).build();
coverBeanEquals(test, test2);
}
