fxVolatilitySurfaceBuilder

First introduced in version: 3.00.4

Syntax

fxVolatilitySurfaceBuilder(referenceDate, currencyPair, quoteNames, quoteTerms, quotes, spot, domesticCurve, foreignCurve, [model='SVI'], [surfaceName])

Details

Builds a foreign exchange volatility surface.

Parameters

referenceDate A DATE scalar specifying the reference date of the surface.

currencyPair A STRING scalar specifying the currency pair, in the format "EURUSD", "EUR.USD", or "EUR/USD". Supported currency pairs include:

  • "EURUSD": Euro to US Dollar

  • "USDCNY": US Dollar to Chinese Yuan

  • "EURCNY": Euro to Chinese Yuan

  • "GBPCNY": British Pound to Chinese Yuan

  • "JPYCNY": Japanese Yen to Chinese Yuan

  • "HKDCNY": Hong Kong Dollar to Chinese Yuan

quoteNames A STRING vector specifying the names of market volatility quotes，which must be a permutation of ["ATM", "D25_RR", "D25_BF", "D10_RR", "D10_BF"], where:

  • "ATM": At-the-money volatility

  • "D25_RR": Risk reversal with Delta = 0.25

  • "D25_BF": Butterfly with Delta = 0.25

  • "D10_RR": Risk reversal with Delta = 0.1

  • "D10_BF": Butterfly with Delta = 0.1

quoteTerms A vector of DURATION or STRING type, representing the tenors associated with market quotes. When it is a STRING scalar, in addition to strings that can be converted into DURATION, the following optional values are also supported:

  • "ON": Overnight, near leg value date is T, far leg value date is T+1

  • "TN": Tomorrow-next, near leg value date is T+1, far leg value date is T+2

  • "SN": Spot-next, near leg value date is T+2, far leg value date is T+3

quotes A DOUBLE matrix with shape (size(quoteTerms), size(quoteNames)). The entry at row i and column j represents the quote of quoteNames[j] for tenor quoteTerms[i].

spot A DOUBLE scalar representing the spot exchange rate.

domesticCurve A MKTDATA object of type IrYieldCurve representing the domestic discount curve. See Curve Field Specifications for details.

foreignCurve A MKTDATA object of type IrYieldCurve representing the foreign discount curve. See Curve Field Specifications for details.

model (optional) A STRING scalar specifying the model used to construct the surface. Options:

  • “SVI” (default): Stochastic Volatility Inspired model

  • “SABR”: Stochastic Alpha Beta Rho model

  • “Linear”: Linear interpolation model

  • “CubicSpline”: Cubic spline interpolation model

surfaceName (optional) A STRING scalar specifying the name of the volatility surface. The default value is "FXVOLSURF/{currencyPair}".

Returns

A FxVolatilitySurface object of MKTDATA type.

Examples

refDate = 2025.08.18
ccyPair = "USDCNY"
quoteTerms = ['1d', '1w', '2w', '3w', '1M', '2M', '3M', '6M', '9M', '1y', '18M', '2y', '3y']
quoteNames = ["ATM", "D25_RR", "D25_BF", "D10_RR", "D10_BF"]
quotes = [0.030000, -0.007500, 0.003500, -0.010000, 0.005500, 
          0.020833, -0.004500, 0.002000, -0.006000, 0.003800, 
          0.022000, -0.003500, 0.002000, -0.004500, 0.004100, 
          0.022350, -0.003500, 0.002000, -0.004500, 0.004150, 
          0.024178, -0.003000, 0.002200, -0.004750, 0.005500, 
          0.027484, -0.002650, 0.002220, -0.004000, 0.005650, 
          0.030479, -0.002500, 0.002400, -0.003500, 0.005750, 
          0.035752, -0.000500, 0.002750,  0.000000, 0.006950, 
          0.038108,  0.001000, 0.002800,  0.003000, 0.007550, 
          0.039492,  0.002250, 0.002950,  0.005000, 0.007550, 
          0.040500,  0.004000, 0.003100,  0.007000, 0.007850, 
          0.041750,  0.005250, 0.003350,  0.008000, 0.008400, 
          0.044750,  0.006250, 0.003400,  0.009000, 0.008550]
quotes = reshape(quotes, size(quoteNames):size(quoteTerms)).transpose()
spot = 7.1627
curveDates = [2025.08.21,
              2025.08.27,
              2025.09.03,
              2025.09.10,
              2025.09.22,
              2025.10.20,
              2025.11.20,
              2026.02.24,
              2026.05.20,
              2026.08.20,
              2027.02.22,
              2027.08.20,
              2028.08.21]
domesticCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": refDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",  
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": curveDates,
    "values":[1.5113, 
              1.5402, 
              1.5660, 
              1.5574, 
              1.5556, 
              1.5655, 
              1.5703, 
              1.5934, 
              1.6040, 
              1.6020, 
              1.5928, 
              1.5842, 
              1.6068]/100
}
foreignCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": refDate,
    "currency": "USD",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",  
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": curveDates,
    "values":[4.3345, 
              4.3801, 
              4.3119, 
              4.3065, 
              4.2922, 
              4.2196, 
              4.1599, 
              4.0443, 
              4.0244, 
              3.9698, 
              3.7740, 
              3.6289, 
              3.5003]/100
}
domesticCurve = parseMktData(domesticCurveInfo)
foreignCurve = parseMktData(foreignCurveInfo)
surf = fxVolatilitySurfaceBuilder(refDate, ccyPair, quoteNames, quoteTerms, quotes, spot, domesticCurve, foreignCurve)
surfDict = extractMktData(surf)
print(surfDict)

Related functions: extractMktData, parseMktData

Curve Field Specifications