Local Volatility with Example in Python

abhaydd

New Member
Can someone help me to give reference point where Local Volatility is explained with example implemented in Python ?
Thanks,
 

Daniel Duffy

C++ author, trainer
Just of curiosity; why does the code need to be Python?
Plan B; wrap C code in a Cython wrapper..

Which model do you want to use for LV?
 

addcapital

New Member
Thanks Daniel for reply, I am looking out to solve using dupire model based on Implied Volatility as input for SPX.
 

Daniel Duffy

C++ author, trainer
You're welcome. Ideally you could build it all from the ground up.
A more effective solution might be to use Quantlib in Python (caveat: I haven't tried it but am confident that QL can do it).


This is the only source I know :)
 
Last edited:

abhaydd

New Member
Hi Daniel, Thanks for your suggestion but i feel best is to get C code and use Cython wrapper. Do you know where can I find c code for "Local Volatility" of dupire formula where it will calculate using finite difference method ? Please see the attached document which explain problem statement in detail, Thanks for your help.
 

Attachments

Daniel Duffy

C++ author, trainer
Is this doc a full specification? Is it complete? There's a bit more to the story.
Is this post related to some kind of student project?

BTW did you search in Quantlib?
 
Top