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

Design

• Newtypes for inputs and outputs. Vol, Variance wrap return values to prevent accidental mixing. Strike, Tenor wrap inputs for compile-time parameter-swap safety — e.g., black_vol(Tenor(0.5), Strike(100.0)) cannot be transposed.
• No panics. Every fallible operation returns Result. Library code never calls unwrap() or expect().
• Immutable surfaces. Once constructed, a surface cannot be modified. No interior mutability, no observer pattern.
• Thread-safe. All traits require Send + Sync. Surfaces can be shared via Arc<dyn VolSurface> across pricing threads.
• Serializable. All value types and model structs implement Serde Serialize / Deserialize with validation on deserialization where invariants exist (SVI, SABR, SSVI, eSSVI parameters).

Modules

calibration

Calibration configuration types shared across smile models.

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

DataFilter

Pre-calibration data filter for strike/vol cleaning.

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.

WeightingScheme

Weighting scheme for calibration objective function.

Traits

LocalVol

Local volatility surface: σ_loc(T, K).

SmileSection

A single-tenor volatility smile.

VolSurface

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

Functions

apply_filter

Filter (strike, vol) pairs by log-moneyness and minimum vol.

Type Aliases

Result

Convenience type alias for results in this crate.