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

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.