Implemented fit method for the normal model based on the fit method for lognormal one. Added initial guess of numerical optimization to method's arguments in both models.

ynouri / pysabr

SABR model Python implementation

MIT License

457 stars 78 forks source link

Implemented fit method for the normal model based on the fit method for lognormal one. Added initial guess of numerical optimization to method's arguments in both models. #7

Closed v-tsepelev closed 2 years ago

v-tsepelev commented 2 years ago

I was using your PySABR package in my own derivatives project and found out there is a lack of calibration implemented for the Normal (Bachelier) model, however it's very easy to add it based on already existing fit method in the lognormal class. I also found it helpful to have an initial guess for calibrating model parameters to be explicitly available.

v-tsepelev commented 2 years ago

Please take a look at a unit test for normal fit method. Sorry it took me some time to get back to it.