Re: FW: SABR regression
Posted by
Peter Caspers-4 on
Nov 17, 2014; 12:20pm
URL: http://quantlib.414.s1.nabble.com/Fwd-FW-SABR-regression-tp16042p16043.html
Hi Ferdinando,
one problem is the transformation function direct(...) which is buggy for alpha and nu. Can you try the attached version instead and see if it works better ?
I'd like to have a closer look and try on more cases before I send a PR though.
Thanks
Peter
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