Crate regit_svi 

Arbitrage-free SVI volatility surfaces in pure Rust.

regit-svi parametrises the implied volatility smile and surface with the Stochastic Volatility Inspired (SVI) family — Raw SVI (Gatheral 2004), SVI Jump-Wings, and the Surface SVI (SSVI) of Gatheral & Jacquier (2014) — together with calibration to market quotes and explicit static-arbitrage checks (butterfly and calendar-spread).

Designed for auditability: every formula is hand-rolled from primary paper sources with no external dependencies. A regulator, quant auditor, or new engineer can trace every number to a citable derivation in MATH.md.

Quick start

use regit_svi::{Quote, calibration::quasi_explicit};

// Market quotes for one maturity: (log-moneyness, total variance, weight).
let quotes = [
    Quote::new(-0.20, 0.0512, 1.0).unwrap(),
    Quote::new(-0.10, 0.0432, 1.0).unwrap(),
    Quote::new( 0.00, 0.0400, 1.0).unwrap(),
    Quote::new( 0.10, 0.0420, 1.0).unwrap(),
    Quote::new( 0.20, 0.0480, 1.0).unwrap(),
];

// Calibrate a raw SVI slice (quasi-explicit, de Marco-Martini).
let fit = quasi_explicit::calibrate(&quotes).unwrap();

// Evaluate total variance and implied volatility anywhere on the slice.
let w = fit.slice.total_variance(0.05);
let vol = fit.slice.implied_vol(0.05, 1.0).unwrap();
assert!(w > 0.0 && vol > 0.0);

// Certify the slice is free of butterfly arbitrage.
assert!(fit.butterfly_free);

Architecture

types          log-moneyness, total variance, market quotes (Quote)
errors         typed errors for parametrisation, conversion, calibration
math           numerical primitives — Nelder-Mead, Levenberg-Marquardt,
               linear least-squares (Cholesky), Brent root-finder

raw            Raw SVI w(k) = a + b(rho(k-m) + sqrt((k-m)^2 + sigma^2))
jw             SVI Jump-Wings parametrisation (trader-facing parameters)
ssvi           Surface SVI w(k, theta) — arbitrage-free whole-surface form
convert        conversions between Raw, Jump-Wings, and SSVI slices

arbitrage      butterfly (g(k) >= 0) and calendar-spread checks
density        risk-neutral density implied by a slice

calibration/
  quasi_explicit   de Marco-Martini / Zeliade quasi-explicit slice fit
  least_squares    direct Levenberg-Marquardt slice fit
  ssvi             joint SSVI surface calibration

surface        multi-slice surface assembly and interpolation

Part of Regit OS — the operating system for investment products. From Luxembourg.

Re-exports

pub use arbitrage::ButterflyReport;

pub use arbitrage::CalendarReport;

pub use calibration::CalibrationResult;

pub use convert::jw_to_raw;

pub use convert::raw_to_jw;

pub use convert::ssvi_to_raw;

pub use density::DensityReport;

pub use errors::CalibrationError;

pub use errors::ConvertError;

pub use errors::ParamError;

pub use jw::SviJw;

pub use raw::RawSvi;

pub use ssvi::Phi;

pub use ssvi::Ssvi;

pub use surface::Surface;

pub use types::Quote;

pub use types::log_moneyness;

pub use types::quotes_from_triples;

pub use types::total_variance_from_vol;

Modules

arbitrage

Static-arbitrage checks: butterfly (g(k) >= 0) and calendar-spread.

calibration

Slice and surface calibration.

convert

Conversions between the Raw, Jump-Wings, and SSVI parametrisations.

density

Risk-neutral density implied by a raw SVI slice.

errors

Typed error enums for parametrisation, conversion, and calibration.

jw

SVI Jump-Wings parametrisation — trader-facing slice parameters.

math

Hand-rolled numerical primitives — no external math dependencies.

raw

Raw SVI parametrisation of a single maturity slice.

ssvi

Surface SVI (SSVI) — the whole-surface arbitrage-free parametrisation.

surface

Multi-slice volatility surface assembly and interpolation.

types

Core market types: log-moneyness, total implied variance, and quotes.