How we are creating a function(compare) inside a object of PriorityQueue class.Please explain this syntax in Java

Question

PriorityQueue<HeapIndex> priorityQueue = new PriorityQueue<>(k, new Comparator<HeapIndex>() {
    @Override
    public int compare(HeapIndex o1, HeapIndex o2) {
        return o1.val.compareTo(o2.val);
    }
});

Here we are passing initial capacity i.e. k and a comparator function to PrioityQueue class constructor.