Class FxVolSurface.Builder

java.lang.Object

com.quantfinlib.fx.FxVolSurface.Builder

Enclosing class:

FxVolSurface

public static final class FxVolSurface.Builder
extends Object

Accumulates per-expiry delta quotes, then solves strikes once in build().

Constructor Summary

Constructors

Constructor	Description
Builder()	Creates an instance; the explicit form of the default constructor.

Method Summary

Modifier and Type	Method	Description
FxVolSurface.Builder	add(double expiryYears, double forward, double atmVol, double rr25, double bf25)	25Δ-only smile quote (rr/bf in absolute vol, e.g. 0.01 = 1 vol point).
FxVolSurface.Builder	add(double expiryYears, double forward, double atmVol, double rr25, double bf25, double rr10, double bf10)	Full five-pillar quote with 10Δ wings.
FxVolSurface.Builder	add(double expiryYears, double forward, double foreignDiscountFactor, double atmVol, double rr25, double bf25, double rr10, double bf10)	Quote with the foreign discount factor e^{−r_f T}, needed for spot delta conventions.
FxVolSurface.Builder	atmConvention(FxVolSurface.AtmConvention value)
FxVolSurface	build()
FxVolSurface.Builder	butterflyQuote(FxVolSurface.ButterflyQuote value)
FxVolSurface.Builder	deltaConvention(FxVolSurface.DeltaConvention value)
FxVolSurface.Builder	premiumAdjusted(boolean value)	Shortcut: forward delta, premium-adjusted or not.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

Builder

public Builder()

Creates an instance; the explicit form of the default constructor.

Method Details

add

public FxVolSurface.Builder add(double expiryYears,
 double forward,
 double atmVol,
 double rr25,
 double bf25)

25Δ-only smile quote (rr/bf in absolute vol, e.g. 0.01 = 1 vol point).

add

public FxVolSurface.Builder add(double expiryYears,
 double forward,
 double atmVol,
 double rr25,
 double bf25,
 double rr10,
 double bf10)

Full five-pillar quote with 10Δ wings.

add

public FxVolSurface.Builder add(double expiryYears,
 double forward,
 double foreignDiscountFactor,
 double atmVol,
 double rr25,
 double bf25,
 double rr10,
 double bf10)

Quote with the foreign discount factor e^{−r_f T}, needed for spot delta conventions. Pass NaN for rr10/bf10 when there are no 10Δ wings.

premiumAdjusted

public FxVolSurface.Builder premiumAdjusted(boolean value)

Shortcut: forward delta, premium-adjusted or not.

deltaConvention

public FxVolSurface.Builder deltaConvention(FxVolSurface.DeltaConvention value)

atmConvention

public FxVolSurface.Builder atmConvention(FxVolSurface.AtmConvention value)

butterflyQuote

public FxVolSurface.Builder butterflyQuote(FxVolSurface.ButterflyQuote value)

build

public FxVolSurface build()