Hello All, I have been looking for some SABR model implementation package/code in R and have found nothing. I wonder if anyone has come across the codes should they are available. I can only found the model implementation in C++ and VBA only so far. Thanks. Abraham
SABR model
3 messages · abe chan, Sarbo, Brian G. Peterson
3 days later
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An open (or closed) source C++ version could probably be wrapped with RCpp.
On Thu, 30 Sep 2010 21:09:19 -0400, Sarbo <cmdr_rogue at hotmail.com> wrote:
The SABR model requires a good singular perturbation analysis engine. I haven't seen an implementation in R either, and the VBA implementation is probably the one in Haug's book, which is a very simplified version of the model. Someday I hope to code something like a SABR model in R, but that's going to be a long way off, I think. On Mon, 2010-09-27 at 06:58 -0700, abe chan wrote:
Hello All, I have been looking for some SABR model implementation package/code in
R
and have found nothing. I wonder if anyone has come across the codes should they are available. I can only found the model implementation in C++ and VBA
only
so far. Thanks. Abraham
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Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock