<t>Hi,Thank u for ur reply, it really helped as I'm doing a least square fit with my data.But I have a new question. In my error function I'm incorporating vega i.e my error expression isvega*(sigma_mkt - sigma_sabr)^2. When I'm calibrating for swaptions, my veg is of the order of 10^-3, coupled wit...

<t>Hii again,I use Nelder Mead simplex for optimization. I do not have data of market volatilities of set of options at different strikes, instead I have the price at which they are traded, so I cannot directly calibrate for rho, nu and volvol.Instead, I assume some rho and nu, and use SABR model to...

<t>Hello evrybody,I'm trying to implement SABR model in illiquid markets ( paper by Graeme West) and have some problems . Here is a summary:For a given price of a trade, atm vol and strike, and assuming random rho( corr.) and nu(vol vol), I find the sigma from SABR and use it to find the sigma fit (...

<t>Hi BeZen,I have been trying implementing Schonbucher's paper and I have been able to generate 3D tree correctly. However, when I tried pricing CDS option using the tree, my prices do not show convergence with number of steps. They change with number of steps significantly (let say 5% to 4% or so)...

<t> Hi all,Can any one suggest me how to adjust for the monte carlo bias in (FX) digital option pricing. I have implemented sobol sequence of DIM 40 but the prices do not match with the analytical solution. The adjustment for continuous payoff derivatives is straightforward and it works as well. How...

Hi All,Can any one tell me how to simulate CMS rates?? Any technical literature on this will be of great help.Thanks,Nitant

<t>Hi all,I am a fresher for callable interest rate range accrual. I want to understand the concept and implementation of callable range accrual using LMM. So far I have been successful in generating forward libor rates paths using monte carlo. The results for caplet price turns out to be constant u...

<t>Hi all,I am a fresher for callable interest rate range accrual. I want to understand the concept and implementation of callable range accrual using LMM. So far I have been successful in generating forward libor rates paths using monte carlo. The results for caplet price turns out to be constant u...