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Package net.finmath.marketdata.model.volatilities

Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.

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Package net.finmath.marketdata.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).
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Copyright © 2016 Christian P. Fries.

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