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I'm trying to calibrate bond option implied volatility from SABR model to market volatilities, I tried calibration in python but the smile isn't correctly matching with market volatility? Any help is appreciated. Thanks in Advance

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    $\begingroup$ A few things: you write SABR in your question title, but in your question you only mention Black-Scholes. Furthermore, SABR calibration is AFAIK done on swaptions, and not on bond options. You may need to clarify these things first. $\endgroup$
    – user34971
    May 31, 2020 at 14:09
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    $\begingroup$ Including your python program in the question might help. $\endgroup$
    – Dimitri Vulis
    Jun 3, 2020 at 2:12

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