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.

See: Description

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.

Package net.finmath.marketdata2.model.volatilities Description

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