Re: [Quantlib-users] Sabr model parameters calibration

[Mike D. <mik...@gm...>]

Minimize = scipy.minimize

https://docs.scipy.org/doc/scipy/reference/optimize.html


On Thu, Aug 11, 2022 at 09:03 Shashank Choudhary <sha...@gm...>
wrote:

> Hi jack ,
>
> Thank you for your help. I really appreciate it.
> I am not sure what library does the “minimize” function belongs to ?
> I am not a Python programmer so I am trying to translate this code to C++.
>
> Regards
> Shashank
>
> On Thu, Aug 11, 2022 at 9:24 AM Jack G <jac...@gm...> wrote:
>
>> 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
>>>>> _______________________________________________
>>>>> QuantLib-users mailing list
>>>>> Qua...@li...
>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>>>
>>>>> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>