Open kiann00 opened 1 year ago
Glad this is useful! I'm not actively developing this project right now, but feel free to submit a pull request if you have ideas on how to improve the calibration.
sure. By the way, I browsed through your code, and I hope I did not read it wrong, but it seems
Is there a particular way, where, (for the SABR lognormal version), I enter the ATM lognormal vols rather than Normal vols? I know the Swaption market quotes Normal vols (which is probably why), but if I try to use your model to play with SPX options and FX Options, one would need to use a function to convert Lognormal vols into Normal Vols. Though, I guess, the naive = Normal Vols (ATM) = Forward * LogNormal-Vols (ATM)
Kind regards Kian
On Mon, Nov 28, 2022 at 10:45 PM Yacine @.***> wrote:
Glad this is useful! I'm not actively developing this project right now, but feel free to submit a pull request if you have ideas on how to improve the calibration.
— Reply to this email directly, view it on GitHub https://github.com/ynouri/pysabr/issues/10#issuecomment-1329230669, or unsubscribe https://github.com/notifications/unsubscribe-auth/AGLPMKKUS4TATP3VSFWK5PDWKTASNANCNFSM6AAAAAASJ7VXWI . You are receiving this because you authored the thread.Message ID: @.***>
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
![Uploading GitHub_SABR.JPG…]()