Recommendation for a library to calculate the local volatility surface?

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:

Do you know of any other libraries?

• p.s. Here are the search terms I used: "implied volatility surface", "local volatility surface", "black volatility surface" surface". – Contango May 22 '11 at 9:45

3 Answers

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.

• I get an Access Denied error when i try and visit your link. – will Jul 29 '18 at 21:12

You may be interested in the closed form solution of local volatility function, a paper I just finished. This can help you visualize what it looks like.

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

• Can you please share some details on the procedure you followed? Is your calibration fully non parametric? – Enrico Detoma Nov 17 '16 at 9:27