Peter,
Submitted the Rquantlib mod with saber and markofunctional interface to
Dirk. Lined up well with market surface I had (+/- 10% but very close
ATM).There¹s a Shiny app included to make it easier to analyze a large
number of points on the surface (cube is 1384 quotes).
Naive question on normal rates in markovfunctional: for SABR you get
normal vols by setting beta=0, and when I look at the code there is a fit
that refers to SABR and beta, is there a simple place where the model can
be adjusted by fixing a parameter?
Terry
On 7/18/16, 2:40 PM, "Peter Caspers" <
[hidden email]> wrote:
>Hi Terry,
>
>that's good. For the normal volatilities in the Markov model, I hope
>to add them not too far in the future (of course I'd be happy if
>someone else would do it and send a pull request).
>
>Best Regards
>Peter
>
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