Login  Register

QuantLib - SABR Model.

Posted by Hurley Hurley on Dec 18, 2016; 7:17am
URL: http://quantlib.414.s1.nabble.com/QuantLib-SABR-Model-tp17929.html


Hi,

I have a question regarding the SABR model in Quantlib. I am trying to fit a SABR vol surface to the following data.

    vector<double> strikes       = { 245.00, 247.50, 250.00, 252.50, 255.00, 257.50, 260.00, 262.50, 265.00 };
    vector<double> imp_vols    = { 12.45,  11.98,  11.47,  10.98,  10.52,  10.22,  9.81,   9.53,   9.39   };
    vector<double> last_prices = { 9.941,  7.859,  5.940,  4.245,  2.831,  1.768,  0.982,  0.498,  0.237  };

    double forward          = 254.12;
    double calendarTime = 34 / 365.0;
    double intRate          = 0.03;
    double discount        = std::exp(-intRate * calendarTime);

Assume the following SABR parameters.
    double Beta = 0.5;
    double NU   = 0.05;
    double Rho  = -0.5;

Also assuming the ATM vol is the 255.00 strike (ImpVol = 10.22).

Can someone please clarify what units the following parameters in the QuantLib method expects - strike, forward, expiryTime and alpha? When I input the raw data above I get results that don't make much sense.

QuantLib Method:
Real unsafeSabrVolatility(Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho);

Regards,
Hurley


------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, SlashDot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users