Module net.finmath.lib
Package net.finmath.marketdata2.model.volatilities
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Volatility surfaces are mappings (t,K) → f(t,K), usually given by a discrete
set of points and an interpolation and extrapolation method or a functional form
(like the SABR model).
- Author:
- Christian Fries
-
Interface Summary Interface Description VolatilitySurface Interface for classes representing a volatility surface, i.e. -
Class Summary Class Description AbstractVolatilitySurface Abstract base class for a volatility surface. -
Enum Summary Enum Description VolatilitySurface.QuotingConvention Quoting conventions.