Local Volatility with Example in Python

[abhaydd]

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

 

[Daniel Duffy]

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]

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

 

[Daniel Duffy]

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).

how to price barrier option under local vol model using QuantLib

I use QuantLib in Python. Now I have implied volatility surface data. How can I get the local vol surface than using finite difference method to price a barrier option in QuantLib?

quant.stackexchange.com

This is the only source I know

 

[pingu]

If you want to know more about Quantlib, here are couple of books:

https://leanpub.com/quantlibpythoncookbook
https://leanpub.com/implementingquantlib

 

[abhaydd]

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.

 

[Daniel Duffy]

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?