Re: [Quantlib-users] Sabr model parameters calibration

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

Thank you :)
On Thu, Aug 11, 2022 at 11:09 AM Mike DelMedico <mik...@gm...>
wrote:

> 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
>>
>