fengler-arbitrage-free

Requirements

conda install -c conda-forge cvxopt quadprog qpsolvers
pip install -U py_vollib

or

pip install -U cvxopt quadprog qpsolvers[starter_solvers] py_vollib

Python porting of Matlab implementation: https://github.com/marta-riva/duoGozzo/tree/master/IVS_Code Original paper: Arbitrage-Free Smoothing of the Implied Volatility Surface, Matthias R. Fengler, 2005 (https://core.ac.uk/reader/6978470)