pysabr
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Ynour - SABR shifted beta calibration
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
- Are we able to include 'beta' in the calibration?
- 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...