Re: [Quantlib-users] Sabr model parameters calibration

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

Shashank,

Can I recommend this excellent answer by David Duarte that I think will do
exactly what you want?

https://quant.stackexchange.com/questions/57786/sabr-model-pricing-engine-in-python-quantlib

Best,
Jack

On Tue, Aug 9, 2022 at 11:17 AM Shashank Choudhary <sha...@gm...>
wrote:

> 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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