Comments (3)
domokane
commented on July 29, 2024
Do you have a reference ?
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mwalkup55
commented on July 29, 2024
I know the pysabr model has it implemented
https://github.com/ynouri/pysabr/blob/master/pysabr/models/hagan_2002_normal_sabr.py
this document shows the different formulations (normal under the "Normal Calibration Space" section):
Sometimes dealers won't even provide lognormal vols for negative strikes. So if you want to fit a model, youd either have to (a) convert normal vols to lognormal or (b) calibrate SABR using normal vol variant
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domokane
commented on July 29, 2024
OK. Thanks. I will take a look.
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Related Issues (20)
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