Crate volsurf 

volsurf

Production-ready volatility surface library for derivatives pricing.

Provides the full pipeline: raw option quotes → implied vol extraction → parametric surface fitting → arbitrage-free enforcement → local vol / pricing engine input.

Architecture

• implied — Implied volatility extraction (Black, Bachelier, displaced diffusion)
• smile — Single-tenor smile models (SVI, SABR, cubic spline)
• surface — Multi-tenor surface construction (SSVI, eSSVI, piecewise)
• local_vol — Dupire local volatility extraction

Modules

conventions

Market conventions for volatility surfaces.

error

Error types for the volsurf library.

implied

Implied volatility extraction from option prices.

local_vol

Local volatility extraction from implied volatility surfaces.

smile

Single-tenor volatility smile models.

surface

Multi-tenor volatility surface construction.

types

Core domain types for volatility surface construction.

Structs

Strike

Strike price K of an option contract.

Tenor

Time to expiry T in years (annualized).

Variance

Total variance σ²T or instantaneous variance σ².

Vol

Implied volatility σ, measured as annualized standard deviation.

Enums

OptionType

Option type: call or put.

VolSurfError

Errors that can occur during volatility surface construction and queries.

Traits

LocalVol

Local volatility surface.

SmileSection

A single-tenor volatility smile.

VolSurface

A full volatility surface: (expiry, strike) → vol.

Type Aliases

Result

Convenience type alias for results in this crate.