-
Notifications
You must be signed in to change notification settings - Fork 0
/
explicit_fit_sabr_20y_beta1.txt
313 lines (313 loc) · 14.6 KB
/
explicit_fit_sabr_20y_beta1.txt
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
Method Strike Volatility
Reference 0.020099999999999996 0.13843456889837336
Reference 0.030099999999999995 0.1298496194673104
Reference 0.0351 0.12752422648524164
Reference 0.037599999999999995 0.12669548246062698
Reference 0.0401 0.12604879171057162
Reference 0.0426 0.12555924424025655
Reference 0.045099999999999994 0.12520538185320126
Reference 0.0501 0.12483292260222788
Reference 0.0601 0.1250469463356967
Parabola 0.020099999999999996 0.13974808266829736
Parabola 0.020499999999999997 0.13915057752564625
Parabola 0.020899999999999995 0.13857640775576407
Parabola 0.021299999999999996 0.13802446714069216
Parabola 0.021699999999999997 0.13749371937430604
Parabola 0.022099999999999998 0.1369831925106201
Parabola 0.022499999999999996 0.13649197394161133
Parabola 0.022899999999999997 0.13601920584581276
Parabola 0.023299999999999998 0.1355640810563342
Parabola 0.0237 0.13512583930333155
Parabola 0.024099999999999996 0.1347037637914296
Parabola 0.024499999999999997 0.13429717807733915
Parabola 0.0249 0.13390544321701267
Parabola 0.025299999999999996 0.1335279551552426
Parabola 0.025699999999999997 0.13316414233370596
Parabola 0.026099999999999998 0.13281346349616183
Parabola 0.026499999999999996 0.1324754056718697
Parabola 0.026899999999999997 0.13214948232036733
Parabola 0.027299999999999998 0.13183523162256186
Parabola 0.027699999999999995 0.13153221490468608
Parabola 0.0281 0.13124001518307946
Parabola 0.028499999999999998 0.13095823581899577
Parabola 0.028899999999999995 0.13068649927373946
Parabola 0.0293 0.13042444595540584
Parabola 0.029699999999999997 0.13017173314936498
Parabola 0.0301 0.12992803402539838
Parabola 0.0305 0.12969303671508103
Parabola 0.030899999999999997 0.12946644345361236
Parabola 0.031299999999999994 0.12924796978084477
Parabola 0.0317 0.1290373437967465
Parabola 0.0321 0.12883430546697197
Parabola 0.0325 0.1286386059746059
Parabola 0.0329 0.12845000711449883
Parabola 0.033299999999999996 0.12826828072692875
Parabola 0.0337 0.12809320816761025
Parabola 0.0341 0.12792457981132777
Parabola 0.0345 0.12776219458670482
Parabola 0.0349 0.127605859539829
Parabola 0.0353 0.1274553894246447
Parabola 0.035699999999999996 0.1273106063181967
Parabola 0.0361 0.12717133925896515
Parabola 0.036500000000000005 0.12703742390667444
Parabola 0.0369 0.12690870222208794
Parabola 0.0373 0.12678502216541762
Parabola 0.0377 0.12666623741208594
Parabola 0.038099999999999995 0.12655220708467396
Parabola 0.0385 0.12644279549998072
Parabola 0.038900000000000004 0.12633787193019824
Parabola 0.0393 0.12623731037728358
Parabola 0.0397 0.1261409893596761
Parabola 0.0401 0.12604879171057162
Parabola 0.0405 0.1259606043870224
Parabola 0.040900000000000006 0.12587631828918466
Parabola 0.0413 0.12579582808908427
Parabola 0.0417 0.12571903206831475
Parabola 0.0421 0.12564583196412443
Parabola 0.042499999999999996 0.12557613282338626
Parabola 0.042899999999999994 0.12550984286397876
Parabola 0.0433 0.12544687334313934
Parabola 0.0437 0.12538713843238047
Parabola 0.0441 0.1253305550985868
Parabola 0.0445 0.12527704299093653
Parabola 0.044899999999999995 0.1252265243333143
Parabola 0.0453 0.12517892382190385
Parabola 0.045700000000000005 0.12513416852766995
Parabola 0.0461 0.12509218780345652
Parabola 0.0465 0.12505291319544598
Parabola 0.0469 0.1250162783587414
Parabola 0.0473 0.12498221897684655
Parabola 0.047700000000000006 0.1249506726848344
Parabola 0.048100000000000004 0.12492157899600644
Parabola 0.0485 0.12489487923185814
Parabola 0.0489 0.1248705164551761
Parabola 0.0493 0.12484843540610387
Parabola 0.0497 0.12482858244102235
Parabola 0.050100000000000006 0.12481090547410059
Parabola 0.0505 0.12479535392138033
Parabola 0.0509 0.12478187864726648
Parabola 0.0513 0.12477043191330255
Parabola 0.051699999999999996 0.12476096732911732
Parabola 0.05210000000000001 0.12475343980543509
Parabola 0.052500000000000005 0.12474780550904857
Parabola 0.0529 0.12474402181965845
Parabola 0.0533 0.12474204728848945
Parabola 0.0537 0.12474184159859779
Parabola 0.05410000000000001 0.12474336552678895
Parabola 0.05450000000000001 0.12474658090706989
Parabola 0.054900000000000004 0.12475145059556345
Parabola 0.0553 0.12475793843681678
Parabola 0.0557 0.12476600923143893
Parabola 0.0561 0.12477562870500689
Parabola 0.05650000000000001 0.12478676347818154
Parabola 0.056900000000000006 0.12479938103797915
Parabola 0.057300000000000004 0.12481344971014578
Parabola 0.0577 0.1248289386325857
Parabola 0.0581 0.12484581772979662
Parabola 0.05850000000000001 0.12486405768826718
Parabola 0.05890000000000001 0.12488362993279481
Parabola 0.059300000000000005 0.12490450660368346
Parabola 0.0597 0.12492666053478332
Parabola 0.0601 0.12495006523233608
Explicit-alpha1 0.020099999999999996 0.1385627685869703
Explicit-alpha1 0.020499999999999997 0.1380742164728776
Explicit-alpha1 0.020899999999999995 0.1376004044731364
Explicit-alpha1 0.021299999999999996 0.1371408420031764
Explicit-alpha1 0.021699999999999997 0.136695063709778
Explicit-alpha1 0.022099999999999998 0.1362626276112894
Explicit-alpha1 0.022499999999999996 0.13584311340546307
Explicit-alpha1 0.022899999999999997 0.1354361209273714
Explicit-alpha1 0.023299999999999998 0.13504126874197475
Explicit-alpha1 0.0237 0.13465819285773423
Explicit-alpha1 0.024099999999999996 0.1342865455492396
Explicit-alpha1 0.024499999999999997 0.13392599427819765
Explicit-alpha1 0.0249 0.13357622070331693
Explicit-alpha1 0.025299999999999996 0.13323691977067076
Explicit-alpha1 0.025699999999999997 0.13290779887703139
Explicit-alpha1 0.026099999999999998 0.1325885770994694
Explicit-alpha1 0.026499999999999996 0.1322789844852143
Explicit-alpha1 0.026899999999999997 0.13197876139639433
Explicit-alpha1 0.027299999999999998 0.13168765790481804
Explicit-alpha1 0.027699999999999995 0.13140543323244452
Explicit-alpha1 0.0281 0.13113185523361875
Explicit-alpha1 0.028499999999999998 0.13086669991552716
Explicit-alpha1 0.028899999999999995 0.13060975099366914
Explicit-alpha1 0.0293 0.13036079947943946
Explicit-alpha1 0.029699999999999997 0.13011964329718895
Explicit-alpha1 0.0301 0.1298860869283674
Explicit-alpha1 0.0305 0.12965994108057444
Explicit-alpha1 0.030899999999999997 0.12944102237953145
Explicit-alpha1 0.031299999999999994 0.12922915308216626
Explicit-alpha1 0.0317 0.12902416080915816
Explicit-alpha1 0.0321 0.12882587829543168
Explicit-alpha1 0.0325 0.1286341431572145
Explicit-alpha1 0.0329 0.12844879767439388
Explicit-alpha1 0.033299999999999996 0.12826968858700755
Explicit-alpha1 0.0337 0.12809666690480206
Explicit-alpha1 0.0341 0.12792958772887594
Explicit-alpha1 0.0345 0.12776831008450792
Explicit-alpha1 0.0349 0.1276126967643378
Explicit-alpha1 0.0353 0.12746261418113564
Explicit-alpha1 0.035699999999999996 0.12731793222945453
Explicit-alpha1 0.0361 0.12717852415551587
Explicit-alpha1 0.036500000000000005 0.1270442664347281
Explicit-alpha1 0.0369 0.1269150386562856
Explicit-alpha1 0.0373 0.12679072341433298
Explicit-alpha1 0.0377 0.12667120620522776
Explicit-alpha1 0.038099999999999995 0.12655637533045824
Explicit-alpha1 0.0385 0.12644612180481765
Explicit-alpha1 0.038900000000000004 0.12634033926945698
Explicit-alpha1 0.0393 0.12623892390947825
Explicit-alpha1 0.0397 0.12614177437573612
Explicit-alpha1 0.0401 0.12604879171057162
Explicit-alpha1 0.0405 0.12595987927716867
Explicit-alpha1 0.040900000000000006 0.12587494269233937
Explicit-alpha1 0.0413 0.12579388976243677
Explicit-alpha1 0.0417 0.1257166304222215
Explicit-alpha1 0.0421 0.1256430766764782
Explicit-alpha1 0.042499999999999996 0.12557314254417756
Explicit-alpha1 0.042899999999999994 0.12550674400502504
Explicit-alpha1 0.0433 0.12544379894823715
Explicit-alpha1 0.0437 0.12538422712339653
Explicit-alpha1 0.0441 0.1253279500932494
Explicit-alpha1 0.0445 0.1252748911883207
Explicit-alpha1 0.044899999999999995 0.12522497546323036
Explicit-alpha1 0.0453 0.12517812965460315
Explicit-alpha1 0.045700000000000005 0.1251342821404753
Explicit-alpha1 0.0461 0.12509336290110074
Explicit-alpha1 0.0465 0.125055303481081
Explicit-alpha1 0.0469 0.12502003695272962
Explicit-alpha1 0.0473 0.12498749788060941
Explicit-alpha1 0.047700000000000006 0.12495762228716857
Explicit-alpha1 0.048100000000000004 0.12493034761941692
Explicit-alpha1 0.0485 0.1249056127165867
Explicit-alpha1 0.0489 0.12488335777872037
Explicit-alpha1 0.0493 0.124863524336144
Explicit-alpha1 0.0497 0.12484605521977532
Explicit-alpha1 0.050100000000000006 0.12483089453222904
Explicit-alpha1 0.0505 0.1248179876196781
Explicit-alpha1 0.0509 0.12480728104443914
Explicit-alpha1 0.0513 0.12479872255824545
Explicit-alpha1 0.051699999999999996 0.1247922610761819
Explicit-alpha1 0.05210000000000001 0.12478784665124912
Explicit-alpha1 0.052500000000000005 0.124785430449535
Explicit-alpha1 0.0529 0.124784964725968
Explicit-alpha1 0.0533 0.12478640280062925
Explicit-alpha1 0.0537 0.12478969903560468
Explicit-alpha1 0.05410000000000001 0.12479480881235734
Explicit-alpha1 0.05450000000000001 0.12480168850960165
Explicit-alpha1 0.054900000000000004 0.12481029548166374
Explicit-alpha1 0.0553 0.12482058803731237
Explicit-alpha1 0.0557 0.12483252541904633
Explicit-alpha1 0.0561 0.12484606778282423
Explicit-alpha1 0.05650000000000001 0.12486117617822398
Explicit-alpha1 0.056900000000000006 0.12487781252902252
Explicit-alpha1 0.057300000000000004 0.12489593961418072
Explicit-alpha1 0.0577 0.12491552104922694
Explicit-alpha1 0.0581 0.12493652126802711
Explicit-alpha1 0.05850000000000001 0.12495890550493242
Explicit-alpha1 0.05890000000000001 0.12498263977729683
Explicit-alpha1 0.059300000000000005 0.125007690868354
Explicit-alpha1 0.0597 0.12503402631044883
Explicit-alpha1 0.0601 0.1250616143686124
Levenberg-Marquardt 0.020099999999999996 4.654658257794282
Levenberg-Marquardt 0.020499999999999997 4.615132337979677
Levenberg-Marquardt 0.020899999999999995 4.5759787051544505
Levenberg-Marquardt 0.021299999999999996 4.537195682515547
Levenberg-Marquardt 0.021699999999999997 4.498781503599186
Levenberg-Marquardt 0.022099999999999998 4.4607343526839704
Levenberg-Marquardt 0.022499999999999996 4.423052400368472
Levenberg-Marquardt 0.022899999999999997 4.385733835010859
Levenberg-Marquardt 0.023299999999999998 4.348776890617234
Levenberg-Marquardt 0.0237 4.312179871680074
Levenberg-Marquardt 0.024099999999999996 4.275941175395612
Levenberg-Marquardt 0.024499999999999997 4.240059311627311
Levenberg-Marquardt 0.0249 4.204532920929639
Levenberg-Marquardt 0.025299999999999996 4.169360790900899
Levenberg-Marquardt 0.025699999999999997 4.134541871094486
Levenberg-Marquardt 0.026099999999999998 4.100075286683763
Levenberg-Marquardt 0.026499999999999996 4.0659603510457405
Levenberg-Marquardt 0.026899999999999997 4.032196577402385
Levenberg-Marquardt 0.027299999999999998 3.9987836896346884
Levenberg-Marquardt 0.027699999999999995 3.965721632363637
Levenberg-Marquardt 0.0281 3.933010580372947
Levenberg-Marquardt 0.028499999999999998 3.900650947430731
Levenberg-Marquardt 0.028899999999999995 3.8686433945509533
Levenberg-Marquardt 0.0293 3.836988837720009
Levenberg-Marquardt 0.029699999999999997 3.805688455099144
Levenberg-Marquardt 0.0301 3.774743693699203
Levenberg-Marquardt 0.0305 3.7441562755104276
Levenberg-Marquardt 0.030899999999999997 3.7139282030566427
Levenberg-Marquardt 0.031299999999999994 3.6840617643295746
Levenberg-Marquardt 0.0317 3.654559537046102
Levenberg-Marquardt 0.0321 3.625424392157859
Levenberg-Marquardt 0.0325 3.5966594965296683
Levenberg-Marquardt 0.0329 3.568268314690381
Levenberg-Marquardt 0.033299999999999996 3.5402546095469636
Levenberg-Marquardt 0.0337 3.5126224419404486
Levenberg-Marquardt 0.0341 3.48537616891057
Levenberg-Marquardt 0.0345 3.4585204405251297
Levenberg-Marquardt 0.0349 3.43206019512012
Levenberg-Marquardt 0.0353 3.4060006527884594
Levenberg-Marquardt 0.035699999999999996 3.3803473069486243
Levenberg-Marquardt 0.0361 3.355105913820288
Levenberg-Marquardt 0.036500000000000005 3.3302824796328356
Levenberg-Marquardt 0.0369 3.305883245394682
Levenberg-Marquardt 0.0373 3.281914669057539
Levenberg-Marquardt 0.0377 3.2583834049203526
Levenberg-Marquardt 0.038099999999999995 3.235296280133569
Levenberg-Marquardt 0.0385 3.2126602681866534
Levenberg-Marquardt 0.038900000000000004 3.1904824592887646
Levenberg-Marquardt 0.0393 3.168770027588333
Levenberg-Marquardt 0.0397 3.1475301952178647
Levenberg-Marquardt 0.0401 3.1267701931999916
Levenberg-Marquardt 0.0405 3.1064972193042952
Levenberg-Marquardt 0.040900000000000006 3.0867183930086517
Levenberg-Marquardt 0.0413 3.0674407077835717
Levenberg-Marquardt 0.0417 3.048670980989955
Levenberg-Marquardt 0.0421 3.0304158017559635
Levenberg-Marquardt 0.042499999999999996 3.012681477272095
Levenberg-Marquardt 0.042899999999999994 2.9954739780180444
Levenberg-Marquardt 0.0433 2.978798882503913
Levenberg-Marquardt 0.0437 2.9626613221714853
Levenberg-Marquardt 0.0441 2.9470659271542443
Levenberg-Marquardt 0.0445 2.9320167736356217
Levenberg-Marquardt 0.044899999999999995 2.9175173335702915
Levenberg-Marquardt 0.0453 2.9035704275417085
Levenberg-Marquardt 0.045700000000000005 2.8901781815176855
Levenberg-Marquardt 0.0461 2.8773419882341034
Levenberg-Marquardt 0.0465 2.8650624738845067
Levenberg-Marquardt 0.0469 2.853339470720247
Levenberg-Marquardt 0.0473 2.842171996074006
Levenberg-Marquardt 0.047700000000000006 2.831558238211171
Levenberg-Marquardt 0.048100000000000004 2.82149554929115
Levenberg-Marquardt 0.0485 2.8119804455891386
Levenberg-Marquardt 0.0489 2.803008614991488
Levenberg-Marquardt 0.0493 2.7945749316397874
Levenberg-Marquardt 0.0497 2.7866734774646074
Levenberg-Marquardt 0.050100000000000006 2.7792975702241005
Levenberg-Marquardt 0.0505 2.7724397975490143
Levenberg-Marquardt 0.0509 2.7660920563982634
Levenberg-Marquardt 0.0513 2.760245597249808
Levenberg-Marquardt 0.051699999999999996 2.7548910722926645
Levenberg-Marquardt 0.05210000000000001 2.7500185868478635
Levenberg-Marquardt 0.052500000000000005 2.7456177532291774
Levenberg-Marquardt 0.0529 2.741677746257413
Levenberg-Marquardt 0.0533 2.7381873596636135
Levenberg-Marquardt 0.0537 2.735135062654267
Levenberg-Marquardt 0.05410000000000001 2.7325090559629643
Levenberg-Marquardt 0.05450000000000001 2.7302973267751707
Levenberg-Marquardt 0.054900000000000004 2.7284877019829104
Levenberg-Marquardt 0.0553 2.7270678993011583
Levenberg-Marquardt 0.0557 2.726025575855174
Levenberg-Marquardt 0.0561 2.7253483739252182
Levenberg-Marquardt 0.05650000000000001 2.7250239636101545
Levenberg-Marquardt 0.056900000000000006 2.7250400822425065
Levenberg-Marquardt 0.057300000000000004 2.725384570453327
Levenberg-Marquardt 0.0577 2.726045404844838
Levenberg-Marquardt 0.0581 2.7270107272814745
Levenberg-Marquardt 0.05850000000000001 2.728268870855546
Levenberg-Marquardt 0.05890000000000001 2.729808382622032
Levenberg-Marquardt 0.059300000000000005 2.731618043228532
Levenberg-Marquardt 0.0597 2.7336868835909716
Levenberg-Marquardt 0.0601 2.7360041987844