Re: [Quantlib-users] Sabr model parameters calibration

[Jack G <jac...@gm...>]

Hi Shashank,

What exactly are you trying to do here? SABR is a funny one because
although it is a "model", it usually isn't used as such and is just used
for smile interpolation at a given tenor (with different SABR "models"
fitted to each tenor). Quite a lot of the art is about how to choose these
adjacent smile fits.

I'm not aware of an inbuilt calibrator but it should be easy enough to
calibrate to a given vol smile. How are you interacting with QuantLib?
There are some exams of calibrators in the cookbook I believe, and I have
some python code for QuantLib that will do this for SABR as well if it
help,.


Best,
Jack


On Tue, 9 Aug 2022, 06:01 Shashank Choudhary, <sha...@gm...>
wrote:

> Hi ,
>
> How do I use the calibration engine for the SABR model parameters? I can
> access the sabr model class and find implied volatilities for a given set
> of parameters but I can’t locate and use the calibration engine, if there’s
> one.
>
> Any help would be much appreciated :)
>
> Regards
> Shashank
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