Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces" https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4617536
VolGAN.py contains the necessary functions to train VolGAN, alongside arbitrage penalty calculation functions. VolGAN-example.py is an example of how to use the file and check the arbitrage penalties in the simulations.
datapath contains data.csv file, which is the data file downloaded from OptionMetrics Implied Volatility Surface File surfacepath contains surfaces_transform.csv file, which has daily implied volatility surfaces on a pre-defined (m,tau) grid, in vector form
For any questions, please email vuletic [at] maths [dot] ox [dot] ac [dot] uk