New answers tagged

2

Edit: You need to specify the keyword arguments in your second example The poor calibration of your second example comes from the fact, that you didn't define the keyword arguments in the LNsabr-object before the .fit() function. Instead of writing: calibration_LN = LNsabr(forward_3m_6m, 0, 0.5, beta).fit(strikes, LogNormalVols) You only need to make the ...


Top 50 recent answers are included