private static void populateVolatilitySurfaceSpecifications(
final ConfigMaster configMaster, final Currency target, final String name) {
final SurfaceInstrumentProvider<Tenor, Tenor> surfaceInstrumentProvider =
new ExampleSwaptionVolatilitySurfaceInstrumentProvider(
target.toString(), "ATMSWAPTION", false, true, "");
final String fullName =
name + SEPARATOR + target.toString() + SEPARATOR + InstrumentTypeProperties.SWAPTION_ATM;
final VolatilitySurfaceSpecification specification =
new VolatilitySurfaceSpecification(
fullName,
target,
SurfaceAndCubeQuoteType.EXPIRY_MATURITY_ATM,
surfaceInstrumentProvider);
ConfigMasterUtils.storeByName(configMaster, makeConfigDocument(specification));
}
private static void populateVolatilitySurfaceDefinitions(
final ConfigMaster configMaster, final Currency target, final String name) {
final Tenor[] swaptionExpiries =
new Tenor[] {
Tenor.THREE_MONTHS,
Tenor.SIX_MONTHS,
Tenor.ONE_YEAR,
Tenor.TWO_YEARS,
Tenor.THREE_YEARS,
Tenor.FIVE_YEARS,
Tenor.TEN_YEARS
};
final Tenor[] swapMaturities =
new Tenor[] {
Tenor.ONE_YEAR,
Tenor.TWO_YEARS,
Tenor.THREE_YEARS,
Tenor.FIVE_YEARS,
Tenor.SEVEN_YEARS,
Tenor.TEN_YEARS,
Tenor.ofYears(12),
Tenor.ofYears(15),
Tenor.ofYears(20),
Tenor.ofYears(30)
};
final String fullName =
name + SEPARATOR + target.toString() + SEPARATOR + InstrumentTypeProperties.SWAPTION_ATM;
final VolatilitySurfaceDefinition<Tenor, Tenor> definition =
new VolatilitySurfaceDefinition<>(fullName, target, swapMaturities, swaptionExpiries);
ConfigMasterUtils.storeByName(configMaster, makeConfigDocument(definition));
}
