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