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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
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/**
* 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
*/
package net.finmath.marketdata2.model.volatilities;