I'd like a library to calculate the options local volatility surface, i.e. the options implied volatility surface for a collection of strikes and their bid/ask prices.
Here are the libraries I've looked at:
- QuantLib (Quote: "from memory, the function qlBlackVol will interpolate vols making sure that the surface is arbitrage free" (see forum post).
- NAG (see "Using the NAG Toolbox for MATLAB in Mathematical ﬁnance").
- Intermark Tookits.
- Modelling the implied volatility surface: an empirical study for FTSE options (contains source code).
- Consistent Pricing of FX Options (doesn't calculate a surface, but interesting nevertheless).
- OpenGamma (apparently, the source contains Java calls to calculate the local volatility surface).
Do you know of any other libraries?