volsurface

A typed, extensible Python toolkit for implied volatility surface calibration. Fits Raw SVI per expiry or SSVI across the full surface, checks for arbitrage, estimates forwards from put-call parity, and renders publication-quality plots — all with mypy --strict compliance throughout.

Features

• Raw SVI parameterisation — per-expiry L-BFGS-B calibration with data-scaled multi-start initial guesses
• SSVI surface model — globally consistent surface with shared (ρ, η, γ) parameters; free of calendar arbitrage by construction
• Put-call parity forward estimation — estimates the implied forward at each expiry from mid-prices, with robust median aggregation and sanity bounds
• Arbitrage checks — butterfly (convexity), calendar spread, and SVI parameter-level no-arbitrage conditions
• Fit diagnostics — per-slice and aggregate RMSE, max/mean absolute error, and side-by-side surface comparison tables
• Yahoo Finance integration — fetch, filter by liquidity, and clean live option chains in one call
• Surface interpolation — linear interpolation in total-variance space between fitted expiries
• Visualisation — 3D surface plots, heatmaps, and per-expiry smile overlays
• Fully typed — mypy --strict compliant with py.typed marker
• Extensible — implement VolModel to add any new parameterisation

Installation

pip install volsurface            # core only
pip install volsurface[yahoo]     # + Yahoo Finance data
pip install volsurface[plot]      # + matplotlib plotting
pip install volsurface[all]       # everything

Quick Start

Fetch, fit, query

from volsurface.market_data import fetch_chain
from volsurface.calibration import calibrate_surface
from volsurface.models import RawSVI
from volsurface.plotting import plot_surface

# Fetch SPY option chains and estimate forwards from put-call parity
slices = fetch_chain("SPY", min_volume=30, moneyness_range=(0.8, 1.2))

# Fit Raw SVI independently to each expiry
result = calibrate_surface(slices, RawSVI, ticker="SPY")
print(f"Fitted {result.surface.n_expiries} expiries")
print(f"Arbitrage clean: {result.arbitrage_report.is_clean}")

# Query any (strike, expiry) point — interpolates between fitted expiries
point = result.surface.iv(strike=570.0, expiry_years=0.5)
print(f"IV at K=570, T=0.5y: {point.iv:.4f}")

plot_surface(result.surface, kind="3d")

Fit SSVI and compare

from volsurface.models import SSVI
from volsurface.diagnostics import compare_surfaces
from volsurface.core import VolSurface

# Fit SSVI: global (rho, eta, gamma) calibrated across all expiries at once
ssvi = SSVI()
ssvi_slices, fit_result = ssvi.fit_surface(slices)
print(f"rho={ssvi.global_params.rho:.4f}  eta={ssvi.global_params.eta:.4f}")

# Assemble an SSVI VolSurface for querying and plotting
ssvi_surface = VolSurface(ticker="SPY (SSVI)")
for ms in slices:
    ssvi_surface.slices[ms.expiry_years] = ssvi_slices[ms.expiry_years]
    ssvi_surface.market_data[ms.expiry_years] = ms

comparison = compare_surfaces(result.surface, ssvi_surface, "Raw SVI", "SSVI")
print(comparison.summary_table())

Working with Custom Data

import numpy as np
from volsurface.market_data import clean_chain
from volsurface.models import RawSVI

strikes = np.array([90, 95, 100, 105, 110], dtype=float)
ivs = np.array([0.25, 0.22, 0.20, 0.21, 0.24])

slice_ = clean_chain(strikes, ivs, expiry_years=0.25, forward=100.0, spot=100.0)

model = RawSVI()
result = model.fit(slice_)
print(f"RMSE: {result.rmse:.6f}")
print(f"Params: {result.params}")

Adding a New Model

Implement the VolModel abstract base class — three methods required:

from volsurface.models.base import VolModel
from volsurface.core import FitResult, MarketSlice
import numpy as np

class MyModel(VolModel):
    @property
    def n_params(self) -> int:
        return 4

    def fit(self, market_slice: MarketSlice) -> FitResult:
        # calibrate to market_slice.log_moneyness, market_slice.total_variance
        ...

    def total_variance(self, log_moneyness):
        # return model total variance for given log-moneyness values
        ...

The fitted model plugs directly into calibrate_surface, plot_smile, and diagnose_surface.

Documentation

Full documentation including the Theory & Models reference: https://cjpvanderwouden.github.io/volsurface/

Development

git clone https://github.com/cjpvanderwouden/volsurface.git
cd volsurface
pip install -e ".[dev]"

pytest                  # tests + coverage
ruff check src/ tests/  # linting
mypy --strict src/      # type checking

License

MIT