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SABR Volatility
3 messages · Raghuraman Ramachandran, Jeff Ryan, Joshua Ulrich
Short answer, no there isn't. You can search this list though as the topic was addressed back on 20100930 or so. Jeff Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com www.lemnica.com
On Jul 19, 2011, at 4:21 PM, Raghuraman Ramachandran <optionsraghu at gmail.com> wrote:
Dear R-Gurus Is there a module where SABR volatility function is included in R please? Many thanks Raghu [[alternative HTML version deleted]]
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On Tue, Jul 19, 2011 at 4:21 PM, Raghuraman Ramachandran
<optionsraghu at gmail.com> wrote:
Dear R-Gurus Is there a module where SABR volatility function is included in R please?
This came up on R-help in January: https://stat.ethz.ch/pipermail/r-help/2011-January/266946.html I didn't check it carefully, but that implementation looks correct. You might want to try a different optimization solver though.
Many thanks Raghu
Best, -- Joshua Ulrich | FOSS Trading: www.fosstrading.com