Posted by
terry leitch-2 on
Jun 28, 2016; 3:44pm
URL: http://quantlib.414.s1.nabble.com/SABR-global-versus-local-fit-tp17538p17573.html
Peter,
I got the vol surface up and running. I fit about 1500 expiration, tenor,
strike combos. Only ones that do not converge are the 6M into 2Y and the
1Y into the 1Y, so 2 out of 70 expiration/tenor combos. Once I account for
curve differences, vol interpolation works great and see maybe a vol point
difference at deep OTM. I get value differences, but these could be due to
the curve issues. Overall very happy with it.
I wrote a shinyapp that I will make available with the rquantlib as an
example when I release. A screenshot of the current version is included.
Best,
Terry
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