Re: [Quantlib-users] Sabr model parameters calibration

[Shashank C. <sha...@gm...>]

Hi Jack ,

I am trying to find the values of Rho and Nu which minimize the mean
squared error between market volatility and volatility computed using the
sabr model formula for a given set of parameters (alpha, rho, nu , beta). I
can assume Beta to be 0.5 while alpha can be ATM volatility.
Now I need to set up the calibration as explained in the MATLAB version
below

https://www.mathworks.com/help/fininst/calibrating-the-sabr-model.html

Now quantlib has the sabr model class in C++ with the formula to compute
the volatility, but I need to calibrate the parameters rho and Nu
that minimises the error function.

Hope this makes sense :)

regards
Shashank



On Mon, Aug 8, 2022 at 7:14 PM Jack G <jac...@gm...> wrote:

> 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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