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  • Super-fast and robust pricing of European and American vanillas,
    with accurate handling of cash dividends.
  • Prices the whole US options universe on one box in a fraction of a second
    (without a table method!).
  • Choice of several dividend pricing models that make sense and are actually used by the most successful options trading firms (not available from vendors).
  • Covers options on stocks, ETFs, futures, and indices.
  • Handles large borrow costs and any number of cash dividends.
  • Has all greeks: delta, gamma, vega, volga, vanna, rho, rhoBorrow, theta, fugit.
  • Fast and accurate implied vol calculation for any dividend model.


  • Super-fast and robust. Fits the whole US options universe on one box!
  • Based on modern Bayesian ideas, superior numerics, and 30 years of trading and research. Robustness is achieved by transferring information across strikes, expiries and time (filtering).
  • Uses unique set of flexible and intuitive curves (see Curves for details), allowing smooth and bias-free fits of all observed skews in the market.
  • Adjust volatility surfaces between fits using proper spot-vol dynamics.
  • The fitter can produce stable, arbitrage-free volatility surfaces even in the far wings, beyond the range of listed options, as required for the calibration of the various “SLVJ” models used for exotics and structured products.


  • Easily create and manipulate vol curves and surfaces to fit any market.
  • We offer an intuitive and flexible family of nested parametric curves, way beyond standard curves like SSVI and SVI (which we also offer).
  • Curves allow the fitting of options on liquid ETFs like SPY and futures like ES, CL, and even the W-shaped volatility curves of tech names like AAPL and AMZN around earnings. No such curves are available anywhere else.
  • Easily manipulate vol level and curve shape (ATF skew, curvature, and wings).
  • Easily switch between different curve types.
  • Sensible book-level sensitivities to all parameters, even across curve types.
  • Curves can be used in a real-time fitter (see Fitter), or managed “by hand” if desired.

Vol Derivatives

  • Fast pricing of var and vol swaps with optional caps, and options on var and vol.
  • Consistently price and hedge var/vol options with vanillas, under the same spot-vol dynamics assumption (alternatively, greeks can be calculated under the “sticky-strike” assumption).
  • Either use the default calibration of a simple log-normal model from the vol surface of the underlier, or use your own vol surface for the future variance to price and risk-manage all vol contracts together.

Example Use Cases

  • The Vola Dynamics libraries can be used independently or in any combination, e.g.:
    • Use the Pricer to price 100x faster.
    • Use your own pricer to imply vols to pass to the Fitter.
    • Use the Pricer to imply vols to pass to the Fitter.
    • Use the Fitter to produce curves for automated trading, risk-management, scenario analysis, margin calculations, etc.
    • Use just the Curves module to manage vol curves “by hand”.
  • Each library is a cost-effective drop-in replacement for a critical component of your options trading infrastructure.

Technical Specifications

  • Libraries are standard C++11.
  • Wrappers available for:
    • python
    • java
    • Excel (server)
  • Supported platforms:
    • Windows
    • Linux
    • OSX