mafipy.calibrator module¶
calibrator (mafipy.calibrator)¶
Implied volatility¶
Basics¶
black_scholes_implied_vol(underlying, ...[, ...]) |
calculates implied volatility of black schoels model by brent method. |
black_swaption_implied_vol(init_swap_rate, ...) |
calculates implied volatility of payer’s swaption by brent method. |
SABR calibration¶
sabr_caibration_simple(market_vols, ...[, ...]) |
calibrates SABR parametes, alpha, rho and nu to market volatilities |
sabr_caibration_west(market_vols, ...[, ...]) |
calibrates SABR parameters to market volatilities by algorithm |