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ynouri / pysabr

SABR model Python implementation
MIT License
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SABR calibration #2

Closed ynouri closed 6 years ago

ynouri commented 7 years ago

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.

ynouri commented 7 years ago

Calibration should be interfaced easily with Excel. It should be a function taking strikes and vols as an input, and returning a vector containing the 3 calibrated SABR parameters: Alpha, Rho and Volvol