ynouri / pysabr Goto Github PK

Write a simple notebook comparing the densities produced by the different SABR methods

wow, Ynouri, stumbled upon this little github python a week ago.
Amazing code and project, and very useful!

I gave it a quick test, and was wondering for 2 issues

1. Are we able to include 'beta' in the calibration?
2. And the local minima/solution seems to go off-base (to the original parameters).
   I do a snapshot of the original, and fitted, parameters. While in both case, the (lognormal) vol-smile is recovered, the 'rho' and 'volvol' goes 'crazy'. Not sure what can be done...

Thank you for an excellent resource on SABR model. Is it possible to provide a complete example of calibrating the model and pricing a swaption based off of the vol surface? Thanks again

Implement the forward PDE method presented in Hagan's Arbitrage Free SABR paper

Great project ynouri! I am really thankful since this project helped me a lot with my final project.

I have a quick question. I saw you multiply the lognormal vol by 100 and normal vol by 10000 in the "fit" function so that the input parameter v_sln also needs to be scaled. Is there a particular reason to do that?

Thanks again for the wonderful project.

Implement SABR calibration taking as an input a series of strikes and volatilities. Each point should be vega weighted and a penalization factor should ensure a very good fit of the ATM point.

Implement Normal SABR formula from Hagan's Arbitrage Free SABR paper.