SABR calibration on Shiny

Comma separated text(Strike, Market IV(log normal)

Implied volatility smile(market and SABR model)

Calibrated parameters via market IVs


          

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")


References