sanos

Rust implementation of SANOS: smooth, arbitrage-aware option surface calibration.

This crate provides:

• market data structures (OptionBook, OptionChain, CallQuote)
• calibration pipeline (calibrate, calibrate_with_stats)
• resulting surface object (SanosSurface)

Installation

[dependencies]
sanos = "0.1"

Quick Start

use sanos::calibration::{calibrate, CalibrationConfig};
use sanos::error::SanosResult;
use sanos::market::OptionBook;

fn run(book: &OptionBook, cfg: &CalibrationConfig) -> SanosResult<f64> {
    let surface = calibrate(book, cfg)?;
    surface.call(1.0, 1.0)
}

Feature Flags

• lp-microlp (default): pure-Rust LP solver backend.
• lp-cbc: CBC backend via good_lp/lp-solvers (requires CBC runtime).
• iv-jaeckel (default): implied-vol inversion support.
• serde: serialization support for config/runtime types.

When selecting a solver in configuration, the matching crate feature must be enabled.

Project Notes

This repository also contains higher-level tooling (sanos-cli, sanos-io, Python orchestration). The sanos crate itself is the core Rust calibration engine.

Research Attribution

This crate is an independent implementation of the SANOS methodology described in:

• "SANOS: Smooth strictly Arbitrage-free Non-parametric Option Surfaces" (arXiv:2601.11209)
• URL: https://arxiv.org/abs/2601.11209

The code in this repository is original Rust code released under MIT (LICENSE), and is not a copy of the paper text.

Non-Affiliation

This project is not affiliated with, endorsed by, or maintained by the authors of the SANOS paper.

Pre-publish Checklist

cargo test -p sanos
cargo test -p sanos --no-default-features
RUSTDOCFLAGS="-D warnings" cargo doc -p sanos --no-deps
cargo package -p sanos