On Fri, Nov 20, 2009 at 2:32 PM, Alexander Lotter
<
[hidden email]> wrote:
> I've found some sabr-classes in QuantLib, but not much in documentation and
> haven't found any example.
>
> Is it possible to calibrate sabr-parameter and create vola curves using this
> classes (termstructures -> volatility -> sabr and experimental ->
> sabrvolsurface)?
>
> It would be great if there is some example how to use the model in QuantLib.
the SABR function and interpolation class needs probably little
documentation if you're familiar with SABR
the _experimental_ classes belongs to a new design I tackled more then
one year ago, and was not able to finalize it, even if I would love to
work on it. They are concerned about getting rid of the idea of vol
cube, recognizing that what actually makes sense is stacked
independent surfaces, with each surface having few sparse independent
smiles on the top of an at-the-money back-bone vol curve.
These swaption classes are 80% finished, thanks to being quoted with
floating smile. The cap classes are harder because of sticky smile.
They should be finalized and then one should create backward
compatible adapters in order to use them in the rest of QuantLib
ciao -- Nando
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