SABR Calibration

Posted by Mario Marra on Apr 26, 2017; 1:30pm
URL: http://quantlib.414.s1.nabble.com/SABR-Calibration-tp18226.html

Hi all!

I am trying to do a SABR calibration for Equity Futures the same was as it is explained here: https://letianquant.files.wordpress.com/2016/01/12-sabr-model.pdf

I would like to keep Beta = 1 fixed and find Alpha, Rho and Nu such that equation (6) from the paper would return me the correct ATM Vol (so I can use the ATM Vols later on to shift Alpha without needing to recalibrate Beta, Rho and Nu).

I see that there are a lot of post on SABR and I apologize if the solution is already out there but I am relatively new to C++ (~2 months) and I come from a very good knowledge of VBA but I still struggle to properly understand everything happening in the background of QuantLib.

Attached you can see what I have done so far, I hope it helps.

Thank you,

Mario

SABR_so_Far.txt