[R-SIG-Finance] SABR Volatility

[Joshua Ulrich]

On Tue, Jul 19, 2011 at 4:21 PM, Raghuraman Ramachandran
<optionsraghu at gmail.com> wrote:
> Dear R-Gurus
>
> Is there a module where SABR volatility function is included in R please?
>
This came up on R-help in January:
https://stat.ethz.ch/pipermail/r-help/2011-January/266946.html

I didn't check it carefully, but that implementation looks correct.
You might want to try a different optimization solver though.

> Many thanks
> Raghu
>

Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com