Re: SABR Calibration

Posted by Mario Marra on May 11, 2017; 8:04am
URL: http://quantlib.414.s1.nabble.com/SABR-Calibration-tp18226p18269.html

Hi Peter,

Thank you very much for taking the time to give me such a comprehensive response!

Regarding the last point, I can confirm you that I just tested it and I just needed 3 parameters to get the calibration and not 4 as I previously said. Thank you for that.

Regarding the SABRSmartAlphaSpecs, it seems that your response gets straight to the issue and you identified the changes to be made. I will try to solve this asap and post the code here as soon as I have a solution so you can decide whether a pull request would be beneficial.

I hope to be able to post it by tomorrow but if not, I will probably post at some point in June as I have an exam coming up and won't be working for the next 3 weeks.

Thank you again for your help.

Best regards,
Mario