Hypersurface Overview

A hypersurface is a container of user-defined market data structures, and is available to any Calypso pricers or custom pricers through standard APIs.

The individual market data structures within the hypersurface are referred to as hyper spaces. So in other words, a hyper space can be a volatility surface, a volatility curve, etc. and hyper spaces are collected into a hypersurface.

The hypersurface and calibration applications require the installation of Java 3D.

 

Hypersurface Quick Reference • Java 3D installation • Defining a hypersurface using the SimpleDefault generator • Defining a hypersurface using the Advance generator

 

A sample LGM model has been implemented for swaptions. Refer to the Calypso Calibration User Guide for a sample usage of on-the-fly calibration using hypersurfaces.