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).
Christian Fries