pysabr icon indicating copy to clipboard operation
pysabr copied to clipboard

Ynour - SABR shifted beta calibration

Open kiann00 opened this issue 2 years ago • 2 comments

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...

Uploading GitHub_SABR.JPG…

kiann00 avatar Nov 24 '22 08:11 kiann00