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.class is the extension of a java byte code file.
An Interpreter
The java interpreter or JVM (Java Virtual Machine) is not able to execute the java source code for a program. The java source code first needs to be compiled into bytecode that can be processed by JVM. Producing bytecode make the program platform independent as each platform has its own JVM. It is also possible to directly write bytecode, bypassing the need to compile, but that would be tedious job and also not good for security purpose as the compiler checks for various errors in a program.
Java is both compiled and interpreted. At first, the Java source code (in .java files) is compiled into the so-called Bytecode (.class files). The Bytecode is a pre-compiled, platform independent version of your program. The .class files can be used on any operating system. When the Java application is started, the Bytecode is interpreted by the Java Virtual Mashine. Because the Bytecode is pre-compiled, Java does not have the disadvantages of classical interpreted languages, like BASIC.
A JVM, or Java Virtual Machine, creates the environment in which programs that run using Java bytecode are processed. It does not itself possess bytes or bytecode.