Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Vol Cube Object #67

Open
mwalkup55 opened this issue Jan 20, 2021 · 1 comment
Open

Vol Cube Object #67

mwalkup55 opened this issue Jan 20, 2021 · 1 comment

Comments

@mwalkup55
Copy link

Vol cub objects would be very helpful, possibly if they are SABR vol cubes. could pass a series of VolSurface objects at varying strikes, or perhaps the SABR parameter matrices for tenor x expiry x strike
@domokane
Copy link
Owner

I am working towards something like this at the moment. Currently I am working on a swaption calibration (all swaps to same maturity date) using SABR and shifted-SABR. Once this works I can extend in the maturity dimension.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees
No one assigned
Labels
None yet
Projects
None yet
Milestone
No milestone
Development

No branches or pull requests
2 participants
@mwalkup55 @domokane