Java: Interface with new keyword how is that possible?

I was reading some sourcecode from Java libraries, and I am confused here;

This code is from Document.java in jaxb library, and ContentVisitor is an Interface in same package, how can we create an instance of Interface with a new keyword? isn't that illegal?

public final class Document {
.
.
 private final ContentVisitor visitor = new ContentVisitor() {
    public void onStartDocument() {

        throw new IllegalStateException();
    }

    public void onEndDocument() {
        out.endDocument();
    }

    public void onEndTag() {
        out.endTag();
        inscopeNamespace.popContext();
        activeNamespaces = null;
    }
}

In the code, you're not creating an instance of the interface. Rather, the code defines an anonymous class that implements the interface, and instantiates that class.

The code is roughly equivalent to:

public final class Document {

    private final class AnonymousContentVisitor implements ContentVisitor {

        public void onStartDocument() {
            throw new IllegalStateException();
        }

        public void onEndDocument() {
            out.endDocument();
        }

        public void onEndTag() {
            out.endTag();
            inscopeNamespace.popContext();
            activeNamespaces = null;
        }
    }

    private final ContentVisitor visitor = new AnonymousContentVisitor();
}

It's valid. It's called Anonymous class. See here

We've already seen examples of the syntax for defining and instantiating an anonymous class. We can express that syntax more formally as:

new class-name ( [ argument-list ] ) { class-body }

or:

new interface-name () { class-body }

It is called anonymous type/class which implements that interface. Take a look at tutorial - Local and Anonymous Inner Classes.

That declaration actually creates a new anonymous class which implements the ContentVisitor interface and then its instance for that given scope and is perfectly valid.