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).
- Christian Fries
InterfaceDescriptionInterface for classes representing a volatility surface, i.e.
ClassDescriptionAbstract base class for a volatility surface.