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E8 Vol Cube Object · Issue #67 · domokane/FinancePy · GitHub
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Vol Cube Object #67

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mwalkup55 opened this issue Jan 20, 2021 · 1 comment
Open

Vol Cube Object #67

mwalkup55 opened this issue Jan 20, 2021 · 1 comment

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@mwalkup55
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Vol cub objects would be very helpful, possibly if they are SABR vol cubes. could pass a series of VolSurface objects at varying strikes, or perhaps the SABR parameter matrices for tenor x expiry x strike
@domokane
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I am working towards something like this at the moment. Currently I am working on a swaption calibration (all swaps to same maturity date) using SABR and shifted-SABR. Once this works I can extend in the maturity dimension.

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@mwalkup55 @domokane








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