svi-py

Stochastic volatility inspired (SVI) parametrizations of the implied volatility surface in Python — plus the SABR stochastic volatility model.

Given a panel of contemporaneous European call and put option prices across strikes and maturities, svi-py calibrates smooth, arbitrage-aware total variance surfaces. It handles the full pipeline: implied vol extraction, forward estimation via put-call parity, OTM leg selection, and per-slice calibration with configurable no-arbitrage constraints.

Features

  • Seven parametrizations behind one interface: raw SVI, natural SVI, SSVI, eSSVI, jump-wings, DirectSVI, and SABR

  • Configurable no-arbitrage enforcement: butterfly (density) and calendar-spread penalties, combinable as flags

  • Full data pipeline: BSM implied vols from prices, implied forwards from put-call parity, OTM leg selection, slice preparation

  • Robust calibration: L-BFGS-B with automatic Nelder-Mead fallback; closed-form fitting for DirectSVI

  • Optional numba acceleration: JIT-compiled kernels behind a runtime toggle (pip install "svi-py[numba]"), 2-6x faster arbitrage-constrained calibration

  • Fitted surface object: VolSurface.fit(df) gives evaluation (IVs, ATM level/skew/curvature), arbitrage verification, and Black-76 pricing and Greeks in one object

Installation

pip install svi-py

Requires Python >= 3.13.

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