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sabr_fit_lm_gn10.txt
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sabr_fit_lm_gn10.txt
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guess asset expiry alpha error
LM 1 0.057534247 0.2707099848843612 1.4573956342209336E-4
LM 1 0.153424658 0.25632841678547297 1.296298464356975E-4
LM 1 0.230136986 0.2559924000286909 8.640872345954104E-5
LM 1 0.479452055 0.254840317129718 7.255875003616614E-5
LM 1 0.728767123 0.2565592082983976 3.5592374194006666E-5
LM 1 1.22739726 0.25975050486480333 2.6200642159599624E-5
LM 1 1.726027397 0.2606526472198361 2.0263786111663136E-5
LM 1 2.243835616 0.2617715168410682 1.6795508406197022E-5
LM 1 2.742465753 0.2616171538116114 1.5010969294375893E-5
LM 1 3.24109589 0.2623756166787363 1.3691824541925665E-5
LM 1 4.238356164 0.26335074791220514 1.1995382866207259E-5
GN 1 0.057534247 0.27070998489350895 1.4573956342202579E-4
GN 1 0.153424658 0.25632841678978774 1.296298464356863E-4
GN 1 0.230136986 0.2559924000353565 8.640872345958159E-5
GN 1 0.479452055 0.25484031710976734 7.255875003623256E-5
GN 1 0.728767123 0.2565592082994721 3.559237419414475E-5
GN 1 1.22739726 0.2597505048527758 2.6200642159689125E-5
GN 1 1.726027397 0.26065264720086007 2.0263786111777065E-5
GN 1 2.243835616 0.26177151682633926 1.6795508406274864E-5
GN 1 2.742465753 0.26161715382322115 1.501096929435749E-5
GN 1 3.24109589 0.26237561667326137 1.369182454197427E-5
GN 1 4.238356164 0.2633507479647751 1.1995382866036517E-5
LM sp500 0.0191780822 0.18085528410146778 0.02832997186230714
LM sp500 0.0849315068 0.1658427368123011 0.013695216644208707
LM sp500 0.1616438356 0.1622387536211416 0.009561670154309735
LM sp500 0.2383561644 0.16481233079341967 0.010508012390099917
LM sp500 0.4904109589 0.1725715440161981 0.01140425028586652
LM sp500 0.7479452055 0.18098936906475896 0.010376901922327219
LM sp500 1.0 0.18691863128939554 0.008970051533133098
LM sp500 1.495890411 0.19907583076966437 0.005626400676990869
LM sp500 2.0 0.2085956487872366 0.0038600919344358503
LM sp500 3.0 0.22611672119873524 0.0027927875178216403
LM sp500 4.0 0.23631505794630148 0.0021926991075019403
LM sp500 4.997260274 0.24299061680185963 0.0018592880779188272
LM sp500 7.002739726 0.2754636540401789 0.0014101913737397367
LM sp500 10.002739726 0.332864288652858 0.0011201752682873504
GN sp500 0.0191780822 0.1808552834167736 0.028329971862307134
GN sp500 0.0849315068 0.1658427376415496 0.013695216644208716
GN sp500 0.1616438356 0.16223875420647985 0.009561670154309716
GN sp500 0.2383561644 0.16481232813728647 0.010508012390099642
GN sp500 0.4904109589 0.1725715382791491 0.0114042502858654
GN sp500 0.7479452055 0.18098937286635855 0.010376901922326452
GN sp500 1.0 0.18691862822020833 0.008970051533132545
GN sp500 1.495890411 0.19907583467859327 0.005626400676989767
GN sp500 2.0 0.20859564887140897 0.0038600919344358663
GN sp500 3.0 0.2261167230501214 0.0027927875178214833
GN sp500 4.0 0.23631505667762695 0.002192699107501914
GN sp500 4.997260274 0.2429906174843472 0.0018592880779188014
GN sp500 7.002739726 0.2754636465886767 0.0014101913737394336
GN sp500 10.002739726 0.3328643038456255 0.0011201751758097103
LM euro50 0.0191780822 0.18730871491489348 0.026538075985881596
LM euro50 0.0849315068 0.17736039463872383 0.010799835510396205
LM euro50 0.1616438356 0.17840839056619207 0.003801112715671288
LM euro50 0.2383561644 0.18609529006037573 0.0023842619918204755
LM euro50 0.4904109589 0.19937821210466733 0.0024243213890886056
LM euro50 0.7479452055 0.21047711027974464 0.00272126516751393
LM euro50 0.997260274 0.21867108617492795 0.002703845369582254
LM euro50 1.495890411 0.22690118284776997 0.002545690740190732
LM euro50 1.997260274 0.23010115070411669 0.002071953180758431
LM euro50 2.997260274 0.23224377405279495 0.0015472915585595568
LM euro50 4.0 0.2334456411791215 0.00126655515679452
LM euro50 4.997260274 0.23483793703336794 0.0011431202022064056
LM euro50 7.0 0.2369648091941951 0.0010035953070055257
LM euro50 10.002739726 0.23952202235263845 9.0307224010089E-4
GN euro50 0.0191780822 0.18730871435517618 0.02653807598588157
GN euro50 0.0849315068 0.1773603973950243 0.010799835510396004
GN euro50 0.1616438356 0.1784083906174904 0.0038011127156712585
GN euro50 0.2383561644 0.18609528994307808 0.0023842619918205024
GN euro50 0.4904109589 0.19937821202065523 0.002424321389088631
GN euro50 0.7479452055 0.2104771098503249 0.002721265167513902
GN euro50 0.997260274 0.21867108604946134 0.002703845369582274
GN euro50 1.495890411 0.22690118196338757 0.002545690740190672
GN euro50 1.997260274 0.23010115073006882 0.0020719531807585276
GN euro50 2.997260274 0.23224377315959266 0.0015472915585595208
GN euro50 4.0 0.23344564203613072 0.001266555156794484
GN euro50 4.997260274 0.23483793601237876 0.0011431202022062707
GN euro50 7.0 0.23696480899440195 0.0010035953070055784
GN euro50 10.002739726 0.2395220223344888 9.030722401008778E-4
LM msci 0.0191780822 0.2406800896272027 0.055681197640948324
LM msci 0.0849315068 0.2226784459003101 0.014321181736514477
LM msci 0.1616438356 0.22121142712884584 0.0055115737996760976
LM msci 0.2383561644 0.22399865633762728 0.014422089282745888
LM msci 0.4904109589 0.2211303388658022 0.014140676794106135
LM msci 0.7479452055 0.2382699584060149 0.009799916665460482
LM msci 1.0 0.24647330560124117 0.00785733927270665
LM msci 1.495890411 0.2336262234529675 0.00573375703192842
LM msci 2.0 0.2255363728230119 0.004486295079436604
LM msci 3.0 0.21848829332837894 0.003107153820927118
LM msci 4.0 0.2161763067492771 0.002356082056360338
LM msci 4.997260274 0.2148713770322116 0.001963093699031848
LM msci 7.002739726 0.21570707609335663 0.0017335232905886003
LM msci 10.002739726 0.22184512543100832 0.0017957537311763699
GN msci 0.0191780822 0.24068013167559518 0.0556811976409282
GN msci 0.0849315068 0.22267844398372047 0.014321181736514425
GN msci 0.1616438356 0.22121142712788086 0.005511573799676124
GN msci 0.2383561644 0.2239986543408179 0.014422089282745642
GN msci 0.4904109589 0.22113034349466423 0.014140676794105217
GN msci 0.7479452055 0.23826995437300033 0.009799916665459481
GN msci 1.0 0.24647330722072536 0.007857339272706432
GN msci 1.495890411 0.23362623024574647 0.005733757031925958
GN msci 2.0 0.22553637689356326 0.004486295079435259
GN msci 3.0 0.21848830199842148 0.0031071538209239305
GN msci 4.0 0.21617630737704738 0.002356082047890112
GN msci 4.997260274 0.21487137627676034 0.001963093673567695
GN msci 7.002739726 0.2157070760522557 0.0017335233163318982
GN msci 10.002739726 0.22184512556936858 0.001795753762657616
LM bnp 0.0191780822 0.3035331687604833 0.033539539635438306
LM bnp 0.0849315068 0.301193811529577 0.00854327404295663
LM bnp 0.1616438356 0.3045258198522707 0.0017848895712641814
LM bnp 0.2383561644 0.3083774558149037 0.00173470829594007
LM bnp 0.4904109589 0.31419501168746167 0.00316150001093432
LM bnp 0.7479452055 0.32755543328974746 0.0024674163007562693
LM bnp 1.0 0.3410848878003674 0.0038594396291217778
LM bnp 1.495890411 0.3509962983349182 0.004642198211222662
LM bnp 2.0 0.36002338624394414 0.003942262036503182
LM bnp 3.0 0.3851490482174449 0.0024021092898753793
LM bnp 4.0 0.39992855790961257 0.001551731921460284
LM bnp 4.997260274 0.41069576698091625 0.0010244778286805734
LM bnp 7.002739726 0.4186198802411384 7.261525287893518E-4
LM bnp 10.002739726 0.42389262384962034 0.0011204297218226425
GN bnp 0.0191780822 0.30353318204715346 0.033539539635433394
GN bnp 0.0849315068 0.30119380998074063 0.008543274042956352
GN bnp 0.1616438356 0.30452581992919403 0.0017848895712641551
GN bnp 0.2383561644 0.30837745572805125 0.0017347082959400816
GN bnp 0.4904109589 0.31419501172574704 0.0031615000109342685
GN bnp 0.7479452055 0.327555433529158 0.0024674163007563205
GN bnp 1.0 0.341084884178358 0.003859439629121285
GN bnp 1.495890411 0.35099629823756706 0.00464219821122266
GN bnp 2.0 0.36002338875885526 0.003942262036503072
GN bnp 3.0 0.38514905137305366 0.002402109289875279
GN bnp 4.0 0.39992860441140826 0.001551731921448963
GN bnp 4.997260274 0.41069576211265835 0.001024477828680468
GN bnp 7.002739726 0.41861987961221153 7.261525335653408E-4
GN bnp 10.002739726 0.42389262223663693 0.0011204297246941047
LM axa 0.0191780822 0.25355764960419774 0.037499630164017306
LM axa 0.0849315068 0.237880631521094 0.009537751320055335
LM axa 0.1616438356 0.24124159710718387 0.0020941831261601434
LM axa 0.2383561644 0.2484641684802218 0.001977177717012042
LM axa 0.4904109589 0.2568796901063686 0.002054758310578027
LM axa 0.7479452055 0.2713544538680002 0.0028250547628401756
LM axa 1.0 0.28319765949943854 0.005197776962726607
LM axa 1.495890411 0.28436672831561466 0.0034388706110693775
LM axa 2.0 0.29364457415421213 0.002521889522622416
LM axa 3.0 0.3048964115726291 0.001501853192514525
LM axa 4.0 0.31298744264762335 9.438728161046378E-4
LM axa 4.997260274 0.3201238917275253 5.942455077346162E-4
LM axa 7.002739726 0.3336035277077762 2.20111596882779E-4
LM axa 10.002739726 0.34759376924149177 7.895571428038341E-4
GN axa 0.0191780822 0.2535576669111151 0.03749963016401464
GN axa 0.0849315068 0.23788063167056905 0.009537751320055307
GN axa 0.1616438356 0.24124159708631493 0.0020941831261601595
GN axa 0.2383561644 0.24846416840802696 0.0019771777170120145
GN axa 0.4904109589 0.256879690028101 0.00205475831057799
GN axa 0.7479452055 0.2713544533476165 0.0028250547628400785
GN axa 1.0 0.28319765883843123 0.005197776962726645
GN axa 1.495890411 0.2843667281728278 0.0034388706110693693
GN axa 2.0 0.2936445751322423 0.002521889522622367
GN axa 3.0 0.3048964063551652 0.0015018531925136108
GN axa 4.0 0.312987447412766 9.438728161040487E-4
GN axa 4.997260274 0.32012389623143456 5.942455077339899E-4
GN axa 7.002739726 0.3336035300293314 2.201114952005732E-4
GN axa 10.002739726 0.3475937673109395 7.895571521026472E-4
LM airliq 0.0191780822 0.1710619234006806 0.02462211057336225
LM airliq 0.0849315068 0.1735445734020575 0.008400978981255912
LM airliq 0.1616438356 0.17561725443053053 0.0028186890423928584
LM airliq 0.2383561644 0.1781625653971729 0.0013867704630673616
LM airliq 0.4904109589 0.18350694547056928 0.0011919797283600506
LM airliq 0.7479452055 0.19452506479892887 0.0023013199958548647
LM airliq 1.0 0.20252111464537798 0.0024066286049269953
LM airliq 1.495890411 0.20204328364470958 0.0028588470129928024
LM airliq 2.0 0.21090856899687235 0.0024069200552442045
LM airliq 3.0 0.22150200431610859 0.0019449492272365565
LM airliq 4.0 0.22910165733304916 0.0017127715316755667
LM airliq 4.997260274 0.23591988381889584 0.0015743069359425946
LM airliq 7.002739726 0.24872756334023227 0.0014496134152236775
LM airliq 10.002739726 0.2733177465845749 0.0015111356803354744
GN airliq 0.0191780822 0.17106195556977824 0.024622110573351827
GN airliq 0.0849315068 0.1735445733474063 0.00840097898125589
GN airliq 0.1616438356 0.17561725438420311 0.0028186890423928654
GN airliq 0.2383561644 0.17816256536562705 0.0013867704630673543
GN airliq 0.4904109589 0.18350694542536583 0.0011919797283600957
GN airliq 0.7479452055 0.1945250646338685 0.002301319995854851
GN airliq 1.0 0.20252111520530783 0.0024066286049269432
GN airliq 1.495890411 0.20204328324162982 0.0028588470129927938
GN airliq 2.0 0.21090856791357238 0.002406920055244116
GN airliq 3.0 0.22150200316923072 0.0019449492272364957
GN airliq 4.0 0.2291016550140885 0.0017127715316753744
GN airliq 4.997260274 0.2359198892065344 0.0015743069359418637
GN airliq 7.002739726 0.24872756289657563 0.0014496134242442727
GN airliq 10.002739726 0.2733177465720099 0.0015111357012403865
LM bancorp 0.0191780822 0.22884983230675313 0.013326668337735601
LM bancorp 0.0849315068 0.2217894781121891 0.0070909868073493025
LM bancorp 0.1616438356 0.21713800900420968 0.003724879765350661
LM bancorp 0.2383561644 0.21436777675329216 0.002707107608304429
LM bancorp 0.4904109589 0.22112082982529052 0.005078775064442872
LM bancorp 0.7479452055 0.22593082649356314 0.007740846462859272
LM bancorp 1.0 0.22843935382684122 0.009139215248173098
LM bancorp 1.495890411 0.2312931664316533 0.010590478336003715
LM bancorp 2.0 0.23313652251383302 0.011361188328621678
LM bancorp 3.0 0.23579030680347848 0.012144027335336136
LM bancorp 4.0 0.237977800663683 0.012545572250032685
LM bancorp 4.997260274 0.24001456104191682 0.01279036999154842
LM bancorp 7.002739726 0.24410269064996945 0.013070623572383038
LM bancorp 10.002739726 0.25069413824356335 0.013284541866334838
GN bancorp 0.0191780822 0.22884983170569234 0.01332666833773556
GN bancorp 0.0849315068 0.22178947855454345 0.007090986807349292
GN bancorp 0.1616438356 0.2171380090350951 0.0037248797653506595
GN bancorp 0.2383561644 0.21436777705374266 0.002707107608304413
GN bancorp 0.4904109589 0.22112082929189095 0.005078775064442814
GN bancorp 0.7479452055 0.22593082632761605 0.007740846462859292
GN bancorp 1.0 0.22843935496235826 0.009139215248173035
GN bancorp 1.495890411 0.2312931668819196 0.010590478336003727
GN bancorp 2.0 0.2331365222990031 0.01136118832862164
GN bancorp 3.0 0.23579031243722684 0.012144027335335667
GN bancorp 4.0 0.23797782016505284 0.012545572250030773
GN bancorp 4.997260274 0.24001459178819617 0.01279036999154412
GN bancorp 7.002739726 0.24410270946586796 0.013070623572382561
GN bancorp 10.002739726 0.2506941631250171 0.01328454186633443
LM wells 0.0191780822 0.28169252163646236 0.05921970743077715
LM wells 0.0849315068 0.2539805142812788 0.018077320789390006
LM wells 0.1616438356 0.2463390694750811 0.006331675056270335
LM wells 0.2383561644 0.24398836714430916 0.0035028718107177823
LM wells 0.4904109589 0.26299805402866877 0.0036586333952037748
LM wells 0.7479452055 0.27149746890612425 0.0035515410439612488
LM wells 1.0 0.27589636214122687 0.003053136656623125
LM wells 1.495890411 0.27717151273531443 0.0027965808228040566
LM wells 2.0 0.2808871868994408 0.0027726369267718283
LM wells 3.0 0.2821864476076093 0.002871814887799513
LM wells 4.0 0.2853764787807355 0.0034642734762532
LM wells 4.997260274 0.2897021161735924 0.003926477672254914
LM wells 7.002739726 0.30164996746113765 0.0045236031741358726
LM wells 10.002739726 0.3351191360682698 0.0050068494945496
GN wells 0.0191780822 0.2816923056225656 0.05921970743127001
GN wells 0.0849315068 0.25398051163946395 0.01807732078938994
GN wells 0.1616438356 0.24633906883025708 0.006331675056270352
GN wells 0.2383561644 0.24398836694330084 0.003502871810717809
GN wells 0.4904109589 0.26299805505096496 0.0036586333952036408
GN wells 0.7479452055 0.27149746648745626 0.0035515410439606893
GN wells 1.0 0.27589636147592767 0.003053136656623045
GN wells 1.495890411 0.2771715117694372 0.0027965808228039395
GN wells 2.0 0.2808871867550748 0.0027726369079801457
GN wells 3.0 0.2821864474252126 0.0028718149127294466
GN wells 4.0 0.2853764781767385 0.003464273507507792
GN wells 4.997260274 0.2897021160953851 0.003926477703620768
GN wells 7.002739726 0.3016499705514321 0.004523603203802741
GN wells 10.002739726 0.33511913041593916 0.005006849522242383
LM dell 0.0191780822 0.2904328811694083 0.05219433474239619
LM dell 0.0849315068 0.33165226247236523 0.019665406738363356
LM dell 0.1616438356 0.3429790813966865 0.008001322705839385
LM dell 0.2383561644 0.3470659579619473 0.003039341306689935
LM dell 0.4904109589 0.3478080877953854 0.0015595471276428248
LM dell 0.7479452055 0.35140293125868644 6.547654723231824E-4
LM dell 1.0 0.35944643112260033 5.47515915527052E-4
LM dell 1.495890411 0.375626860092528 9.558709867342957E-4
LM dell 2.0 0.38479859030568037 0.0012005550029688247
LM dell 3.0 0.39526941303744373 0.0014509234640634077
LM dell 4.0 0.40210894959293836 0.0015736017554912913
LM dell 4.997260274 0.40760531241215886 0.00164883064200472
LM dell 7.002739726 0.4172862132483515 0.0017330325187430726
LM dell 10.002739726 0.4315789717899422 0.00179396783060938
GN dell 0.0191780822 0.2904328510712078 0.05219433474239235
GN dell 0.0849315068 0.3316522451825901 0.0196654067383587
GN dell 0.1616438356 0.3429790820309603 0.008001322705839371
GN dell 0.2383561644 0.3470659582185621 0.003039341306689925
GN dell 0.4904109589 0.347808087818842 0.0015595471276428378
GN dell 0.7479452055 0.351402931301392 6.547654723231134E-4
GN dell 1.0 0.35944643051987385 5.475159155273012E-4
GN dell 1.495890411 0.3756268613625403 9.55870986734133E-4
GN dell 2.0 0.38479859248581166 0.0012005550029686805
GN dell 3.0 0.3952694128276865 0.0014509234640634665
GN dell 4.0 0.40210895233140115 0.001573601755491269
GN dell 4.997260274 0.4076053128220839 0.0016488306420047534
GN dell 7.002739726 0.4172862081359029 0.0017330325187429154
GN dell 10.002739726 0.4315789712663338 0.0017939678306095087