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net.finmath.marketdata.model.volatilities.package.html Maven / Gradle / Ivy

	
		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).