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()

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	build()
FxVolSurface.Builder	premiumAdjusted(boolean value)	Switches strike solving to premium-adjusted forward delta.

Methods inherited from class java.lang.Object

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

Constructor Details

Builder

public Builder()

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.

premiumAdjusted

public FxVolSurface.Builder premiumAdjusted(boolean value)

Switches strike solving to premium-adjusted forward delta.

build

public FxVolSurface build()