SABR calibration on Shiny

About

This application demonstrates to what extent SABR model can fit the market IV structures

Code

Souce code for this application at GitHub

If you want to run this code on your computer, run the code below:'

library(shiny)
runGitHub("SABRCalibrationOnShiny","teramonagi")

You can also check this application on the web.

• http://spark.rstudio.com/teramonagi/SABROnShiny/

References

• Managing Smile Risk, P. Hagan et al(pdf)