Recommendation for a library to calculate the local volatility surface?

Question

I'd like a library to calculate the options local volatility surface, i.e. the options implied volatility surface for a collection of strikes and their bid/ask prices.

Here are the libraries I've looked at:

• QuantLib (Quote: "from memory, the function qlBlackVol will interpolate vols making sure that the surface is arbitrage free" (see forum post).
• NAG (see "Using the NAG Toolbox for MATLAB in Mathematical finance").
• Intermark Tookits.
• Modelling the implied volatility surface: an empirical study for FTSE options (contains source code).
• Consistent Pricing of FX Options (doesn't calculate a surface, but interesting nevertheless).
• OpenGamma (apparently, the source contains Java calls to calculate the local volatility surface).

Do you know of any other libraries?

Answer 1

The OpenGamma Analytics Library definitely does have a Local Volatility model available. In addition, in our Quantitative Papers page there's a link to the full mathematics and basis for our Local Volatility implementation.

I'd be interested to know why you decided to write your own rather than using one of the above.

Answer 2

I ended up writing my own library - not easy, but doable.