Uses of Class
com.quantfinlib.fx.FxVolSurface.Builder
Packages that use FxVolSurface.Builder
Package
Description
FX-specific market machinery — spot conventions through NDFs:
CurrencyPair (pip/precision tables, T+1/T+2
spot lags, dual-calendar tenor dates with modified-following and end-end),
SwapPointsCurve (quoted forward points →
outrights, broken dates linear in days, covered-interest-parity carry),
FxSwap (near/far legs, points MTM, roll cost),
Ndf (fixing vs settlement lags per restricted
currency, USD-settled difference amounts),
FxVolSurface (delta-quoted smiles — ATM DNS,
RR/BF wings, premium-adjusted delta↔strike solving),
FixingRisk (WM/R-window TWAP/VWAP tracking
error and participation), and the hot-path pieces:
AggregatedBook (zero-alloc multi-venue BBO
with venue attribution), CrossRateEngine
(streaming synthetic crosses chained on the bus consumer thread),
FxTierBook (per-LP size-tier ladders:
sweep cost and full-amount quotes), LpScorecard
(streaming last-look analytics: reject rate, hold, post-reject markout),
LpRouter (expected-all-in routing that prices
rejects into the decision) and SyntheticCross
(direct-vs-legs execution arithmetic with spread composition).-
Uses of FxVolSurface.Builder in com.quantfinlib.fx
Methods in com.quantfinlib.fx that return FxVolSurface.BuilderModifier and TypeMethodDescriptionFxVolSurface.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.static FxVolSurface.BuilderFxVolSurface.builder()FxVolSurface.Builder.premiumAdjusted(boolean value) Switches strike solving to premium-adjusted forward delta.