Module net.finmath.lib
Package net.finmath.marketdata2.model.volatilities
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
-
ClassDescriptionAbstract base class for a volatility surface.Interface for classes representing a volatility surface, i.e.Quoting conventions.