{"repo":"volsurf-rs/volsurf","free":true,"listed":false,"github":"https://github.com/volsurf-rs/volsurf","clone":"git clone https://github.com/volsurf-rs/volsurf.git","description":"Production-quality volatility surface library for Rust","language":"Rust","stars":33,"topics":["derivatives","finance","options","quant","rust","sabr","ssvi","volatility"],"license":"Apache-2.0","category":"trading","readme_excerpt":"volsurf Volatility surface construction for equity and FX derivatives. volsurf builds implied volatility surfaces from market data, calibrates parametric smile models (SVI, SABR, SSVI), and detects butterfly and calendar arbitrage. Vol queries take 20 ns or less, fast enough for real-time pricing engines. Features Smile Models - SVI (Gatheral 2006) -- 5-parameter with quasi-explicit calibration (Zeliade 2009), analytical g-function density, butterfly arbitrage detection - SABR (Hagan 2002) -- 4-parameter with Hagan closed-form, analytic alpha + Nelder-Mead calibration, 12-digit accuracy vs reference values - Cubic spline -- non-parametric on total variance, Thomas algorithm O(n), flat extrapolation Surface Construction - SSVI global parameterization (Gatheral-Jacquier 2014) with two-stage calibration - eSSVI extended SSVI (Hendriks-Martini 2019) with tenor-dependent rho, calendar-spread no-arb guarantees, 3-stage calibration from market data - Piecewise per-tenor surfaces with linear variance interpolation - Builder API with SVI/SABR/spline model selection, dividend yield, per-tenor forward override - Ragged strike grids -- different strikes per tenor, no rectangular matrix assumption Arbitrage Detection - Butterfly arbitrage via analytical g-function (SVI) and numerical density scan (SABR) - Calendar spread arbitrage via cross-tenor variance monotonicity - Analytical calendar arbitrage for SSVI surfaces - Combined SurfaceDiagnostics report - Configurable scan grids via Arbit","default_branch":null,"files":null,"tree":[],"storefront":"/r/volsurf-rs","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/volsurf-rs/volsurf/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}