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sabr_smart_fit.txt
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sabr_smart_fit.txt
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guess asset expiry alpha error
DifferentialEvolution 1 0.057534247 0.27070791381386944 1.5310646852858121E-4
DifferentialEvolution 1 0.153424658 0.25630208735587684 1.4352882621635399E-4
DifferentialEvolution 1 0.230136986 0.25596092887421695 1.1361144632279046E-4
DifferentialEvolution 1 0.479452055 0.2548517707502467 5.114372700275438E-5
DifferentialEvolution 1 0.728767123 0.2565744449293513 1.7783724129752992E-5
DifferentialEvolution 1 1.22739726 0.25977986380683654 1.5128657017778978E-5
DifferentialEvolution 1 1.726027397 0.26070052448631353 1.646681270746368E-5
DifferentialEvolution 1 2.243835616 0.26184502860750775 1.8005257563930587E-5
DifferentialEvolution 1 2.742465753 0.261716780557311 1.856194061101969E-5
DifferentialEvolution 1 3.24109589 0.26250753597219334 1.9359091983117844E-5
DifferentialEvolution 1 4.238356164 0.2635624898560716 2.0975879537322946E-5
DifferentialEvolution sp500 0.0191780822 0.18085997721643968 0.028329971862315957
DifferentialEvolution sp500 0.0849315068 0.16584311393490267 0.013690997669827372
DifferentialEvolution sp500 0.1616438356 0.162221426867322 0.00954275049402982
DifferentialEvolution sp500 0.2383561644 0.16480518602168523 0.010518226517564051
DifferentialEvolution sp500 0.4904109589 0.17256826780876447 0.011475664681389783
DifferentialEvolution sp500 0.7479452055 0.1809731106059948 0.010463438423489
DifferentialEvolution sp500 1.0 0.18690275843774148 0.009057088807435667
DifferentialEvolution sp500 1.495890411 0.19908016145658172 0.005715748652120853
DifferentialEvolution sp500 2.0 0.20863668599106344 0.0039468315654306915
DifferentialEvolution sp500 3.0 0.8047826971061828 0.0028776345465891086
DifferentialEvolution sp500 4.0 0.7780222131204537 0.002279894637616916
DifferentialEvolution sp500 4.997260274 0.7410971545421993 0.001953206568160557
DifferentialEvolution sp500 7.002739726 0.2780776654741725 0.0014764000316524633
DifferentialEvolution sp500 10.002739726 0.3544496480377029 0.0012858788975329734
DifferentialEvolution euro50 0.0191780822 0.18731472938339458 0.026538075991340154
DifferentialEvolution euro50 0.0849315068 0.17734428138102457 0.010794935586948566
DifferentialEvolution euro50 0.1616438356 0.1784046495256685 0.003780537095184799
DifferentialEvolution euro50 0.2383561644 0.18611958604652076 0.00246632251821605
DifferentialEvolution euro50 0.4904109589 0.1994073030190334 0.0024913109997885922
DifferentialEvolution euro50 0.7479452055 0.21050480736160299 0.0027860471892334265
DifferentialEvolution euro50 0.997260274 0.21870499119648235 0.00276157864070333
DifferentialEvolution euro50 1.495890411 0.2269596966395898 0.0025984566469861702
DifferentialEvolution euro50 1.997260274 0.2301898249104997 0.0021318468826560318
DifferentialEvolution euro50 2.997260274 1.7826326037252436 0.0016041779404537496
DifferentialEvolution euro50 4.0 1.4856505662493442 0.0013214352132579626
DifferentialEvolution euro50 4.997260274 0.23512993717938702 0.001204423643094066
DifferentialEvolution euro50 7.0 0.23750067996911536 0.0010780864733466145
DifferentialEvolution euro50 10.002739726 0.24060155024003962 9.97488534371888E-4
DifferentialEvolution msci 0.0191780822 0.24069129601922698 0.0556811976409319
DifferentialEvolution msci 0.0849315068 0.22266557143855684 0.014314785671240794
DifferentialEvolution msci 0.1616438356 0.22118130609004727 0.005493479347822209
DifferentialEvolution msci 0.2383561644 0.22398668253162832 0.014409384665521108
DifferentialEvolution msci 0.4904109589 0.22113000114321382 0.014224212873099627
DifferentialEvolution msci 0.7479452055 0.2383098772422316 0.009858119205247552
DifferentialEvolution msci 1.0 0.24653475330044677 0.0079053307604302
DifferentialEvolution msci 1.495890411 0.2337064141892323 0.0057729282075941616
DifferentialEvolution msci 2.0 0.22563949100931263 0.004520298897865852
DifferentialEvolution msci 3.0 0.2186606866329867 0.0031346647861771075
DifferentialEvolution msci 4.0 0.7527737000473828 0.0023850639880153546
DifferentialEvolution msci 4.997260274 0.21489562548117241 0.0020203863929431826
DifferentialEvolution msci 7.002739726 0.2158407130059289 0.0018416974783287145
DifferentialEvolution msci 10.002739726 0.44833682112874623 0.001955979561557372
DifferentialEvolution bnp 0.0191780822 0.3035511810594008 0.03354044608467521
DifferentialEvolution bnp 0.0849315068 0.301155048283403 0.008498195626238249
DifferentialEvolution bnp 0.1616438356 0.3045301578181074 0.0018334265918909522
DifferentialEvolution bnp 0.2383561644 0.3084015885115842 0.0018008222311603872
DifferentialEvolution bnp 0.4904109589 0.314228470163329 0.003241722268168042
DifferentialEvolution bnp 0.7479452055 0.32762747129587566 0.002532657708101879
DifferentialEvolution bnp 1.0 0.3412521133591007 0.003907203708272046
DifferentialEvolution bnp 1.495890411 0.35140052934185184 0.004741850449689375
DifferentialEvolution bnp 2.0 0.36081938843892597 0.004074766499236834
DifferentialEvolution bnp 3.0 0.38654374791970664 0.002458133490899736
DifferentialEvolution bnp 4.0 0.40202848746676023 0.0015762790386686226
DifferentialEvolution bnp 4.997260274 0.4137792758997669 0.0010325982994849395
DifferentialEvolution bnp 7.002739726 0.4222827046844065 7.777885983751274E-4
DifferentialEvolution bnp 10.002739726 0.43113254344648033 0.0011534535743488229
DifferentialEvolution axa 0.0191780822 0.25357059856243414 0.03749963016401509
DifferentialEvolution axa 0.0849315068 0.23814524961424863 0.00953135322574968
DifferentialEvolution axa 0.1616438356 0.24125888619780134 0.002152959248716147
DifferentialEvolution axa 0.2383561644 0.24851091451823373 0.002040844784064266
DifferentialEvolution axa 0.4904109589 0.2569101648959013 0.002124970280886122
DifferentialEvolution axa 0.7479452055 0.2713924543149679 0.0028872989289437747
DifferentialEvolution axa 1.0 0.28328231102088786 0.005256961918014195
DifferentialEvolution axa 1.495890411 0.28449814442590676 0.0035076645189326054
DifferentialEvolution axa 2.0 0.2938153911246573 0.0025753454863261713
DifferentialEvolution axa 3.0 0.3052004280165452 0.0015379167560348218
DifferentialEvolution axa 4.0 0.3135270800148052 9.692520011923216E-4
DifferentialEvolution axa 4.997260274 0.32104502050455247 6.117322637741935E-4
DifferentialEvolution axa 7.002739726 0.33504355924033963 2.7660917222476053E-4
DifferentialEvolution axa 10.002739726 0.3520274250687733 8.875273277720972E-4
DifferentialEvolution airliq 0.0191780822 0.17106591824261044 0.024622110573353534
DifferentialEvolution airliq 0.0849315068 0.17354932740897902 0.008404255658299779
DifferentialEvolution airliq 0.1616438356 0.17559528261838145 0.002821296539968038
DifferentialEvolution airliq 0.2383561644 0.17812719823095735 0.0013713747777454124
DifferentialEvolution airliq 0.4904109589 0.18351222917725077 0.001224264008577696
DifferentialEvolution airliq 0.7479452055 0.19453982805103112 0.0023338966735015555
DifferentialEvolution airliq 1.0 0.20254032734915162 0.0024376526054417378
DifferentialEvolution airliq 1.495890411 0.20207807022403737 0.0029031531177579075
DifferentialEvolution airliq 2.0 0.21097080044055508 0.0024489054690057174
DifferentialEvolution airliq 3.0 0.9506070217280542 0.0019847325435198267
DifferentialEvolution airliq 4.0 0.7819055874569171 0.0017506028875067402
DifferentialEvolution airliq 4.997260274 0.2365390216693718 0.0016106060315651644
DifferentialEvolution airliq 7.002739726 0.5398588189325432 0.001536681041597477
DifferentialEvolution airliq 10.002739726 0.40872309481042657 0.0016917460414296796
DifferentialEvolution bancorp 0.0191780822 0.22885929639782426 0.013326668337735529
DifferentialEvolution bancorp 0.0849315068 0.22177374218297763 0.00709755068150254
DifferentialEvolution bancorp 0.1616438356 0.21709977154510338 0.003668608054825401
DifferentialEvolution bancorp 0.2383561644 0.21443034815878953 0.0027090475010444594
DifferentialEvolution bancorp 0.4904109589 0.22120902312008267 0.005153862585731866
DifferentialEvolution bancorp 0.7479452055 0.22603880236846519 0.007825854811938416
DifferentialEvolution bancorp 1.0 0.2285738215988218 0.009232960685625503
DifferentialEvolution bancorp 1.495890411 0.23149618658275342 0.010701252857058224
DifferentialEvolution bancorp 2.0 0.2334307745805261 0.011489735752851995
DifferentialEvolution bancorp 3.0 1.7473462889524414 0.01244864840569213
DifferentialEvolution bancorp 4.0 0.23886840359220154 0.012743108614760447
DifferentialEvolution bancorp 4.997260274 0.24136696934610832 0.0130221572411421
DifferentialEvolution bancorp 7.002739726 0.2468439071957784 0.013370512385125762
DifferentialEvolution bancorp 10.002739726 0.257248240094254 0.013684269431980492
DifferentialEvolution wells 0.0191780822 0.2817104611412152 0.05921970743076421
DifferentialEvolution wells 0.0849315068 0.25393517694804624 0.018049552032884348
DifferentialEvolution wells 0.1616438356 0.24639991222859686 0.0064065485368173455
DifferentialEvolution wells 0.2383561644 0.2440727641366992 0.003582148902095411
DifferentialEvolution wells 0.4904109589 0.263026895382615 0.0037472231661947147
DifferentialEvolution wells 0.7479452055 0.27153278233443 0.003626208746493666
DifferentialEvolution wells 1.0 0.27595654227260724 0.003123009242905818
DifferentialEvolution wells 1.495890411 0.27730348000158306 0.0028488178674607833
DifferentialEvolution wells 2.0 1.0850325199657411 0.002707229306353452
DifferentialEvolution wells 3.0 0.8968337932063075 0.002961827186055507
DifferentialEvolution wells 4.0 0.2855322750762417 0.0035902493570905453
DifferentialEvolution wells 4.997260274 0.2900575398449784 0.004075988796873921
DifferentialEvolution wells 7.002739726 0.30296677608037553 0.004713096791575209
DifferentialEvolution wells 10.002739726 0.41946354406718767 0.005252656137296442
DifferentialEvolution dell 0.0191780822 0.29044901572380266 0.05219596859465078
DifferentialEvolution dell 0.0849315068 0.33166762821586393 0.019614178938489036
DifferentialEvolution dell 0.1616438356 0.34308353543240316 0.008070371064051835
DifferentialEvolution dell 0.2383561644 0.3471538304449005 0.0030931270716595305
DifferentialEvolution dell 0.4904109589 0.3478649687348005 0.0015131132511187714
DifferentialEvolution dell 0.7479452055 0.35142832780357525 6.358600244580286E-4
DifferentialEvolution dell 1.0 0.35947414834053176 5.582455204013189E-4
DifferentialEvolution dell 1.495890411 0.3757350204475988 9.780501421981513E-4
DifferentialEvolution dell 2.0 0.3850402325907516 0.0012349117433132983
DifferentialEvolution dell 3.0 0.39595715643107965 0.0015088878540824697
DifferentialEvolution dell 4.0 0.4035287608890732 0.0016548730332321664
DifferentialEvolution dell 4.997260274 0.41011110463457295 0.0017531083104766925
DifferentialEvolution dell 7.002739726 0.4234918326313481 0.0018827941933126971
DifferentialEvolution dell 10.002739726 0.7998873661567701 0.0020095363247167384
Explicit 1 0.057534247 0.2707147519155333 1.3555079731226722E-4
Explicit 1 0.153424658 0.2563346729657479 1.1421336085137254E-4
Explicit 1 0.230136986 0.25599763697010636 6.99106359360926E-5
Explicit 1 0.479452055 0.25485209213664545 5.137136789108186E-5
Explicit 1 0.728767123 0.2565737904965661 1.7666237133212612E-5
Explicit 1 1.22739726 0.25978040278225756 1.5288324847746267E-5
Explicit 1 1.726027397 0.2607015501106034 1.6647128817996683E-5
Explicit 1 2.243835616 0.26184536021343624 1.8170025256770868E-5
Explicit 1 2.742465753 0.2617168983740397 1.8479446169593398E-5
Explicit 1 3.24109589 0.26250770239807253 1.9249046204649066E-5
Explicit 1 4.238356164 0.26356269628936596 2.0868845079197783E-5
Explicit sp500 0.0191780822 0.1808786252845822 0.02835672588252934
Explicit sp500 0.0849315068 0.16587126124671409 0.013737519061081229
Explicit sp500 0.1616438356 0.16225880625816125 0.009605365662962462
Explicit sp500 0.2383561644 0.16482556749916585 0.010551147738259886
Explicit sp500 0.4904109589 0.17257551826743017 0.011469510204702061
Explicit sp500 0.7479452055 0.18098073242701343 0.01045683932313943
Explicit sp500 1.0 0.18690502977879653 0.009053807028978043
Explicit sp500 1.495890411 0.19908081153145393 0.005716112878552374
Explicit sp500 2.0 0.20863736176882844 0.0039472373704517606
Explicit sp500 3.0 0.2263095900621345 0.002877475543196656
Explicit sp500 4.0 0.23671406971319264 0.0022798606185169983
Explicit sp500 4.997260274 0.2436445468637943 0.0019531149126297814
Explicit sp500 7.002739726 0.27807775783385524 0.00147626838504437
Explicit sp500 10.002739726 0.35444994488097387 0.0012858773983407616
Explicit euro50 0.0191780822 0.1873500168957218 0.026571069560230726
Explicit euro50 0.0849315068 0.17741286317614743 0.010852216602718871
Explicit euro50 0.1616438356 0.17844819059285957 0.0038596608550115637
Explicit euro50 0.2383561644 0.18612515587702083 0.0024414045798050016
Explicit euro50 0.4904109589 0.19940436463294914 0.0024917876319225925
Explicit euro50 0.7479452055 0.2105040864155682 0.0027847165607859567
Explicit euro50 0.997260274 0.21870516314195032 0.002761915888407927
Explicit euro50 1.495890411 0.22696035605026432 0.002598960265740186
Explicit euro50 1.997260274 0.2301907770990262 0.0021321570913823236
Explicit euro50 2.997260274 0.23238404060725878 0.0016042081211986568
Explicit euro50 4.0 0.23364693439340486 0.0013213835380356995
Explicit euro50 4.997260274 0.23513003154750153 0.0012043145582620745
Explicit euro50 7.0 0.2375007671939003 0.0010779136442225507
Explicit euro50 10.002739726 0.24060101228091568 9.976106446471851E-4
Explicit msci 0.0191780822 0.24070240133119572 0.05568924247094008
Explicit msci 0.0849315068 0.2227054082225291 0.014348407849153654
Explicit msci 0.1616438356 0.22122968789855268 0.005555313783002241
Explicit msci 0.2383561644 0.22401423179665422 0.014454308920515503
Explicit msci 0.4904109589 0.2211385313274311 0.014215568490515043
Explicit msci 0.7479452055 0.23830805057644017 0.009857883927281753
Explicit msci 1.0 0.2465358573127683 0.00790582036848291
Explicit msci 1.495890411 0.23370721459081328 0.005773396706969063
Explicit msci 2.0 0.22564037002139414 0.0045205319434669985
Explicit msci 3.0 0.2186613539223024 0.0031346280500479575
Explicit msci 4.0 0.21617181600501179 0.0023850928729544814
Explicit msci 4.997260274 0.21489551195483034 0.002020376265902369
Explicit msci 7.002739726 0.21584054981264605 0.0018416728526696195
Explicit msci 10.002739726 0.2224197833829158 0.001955938717378186
Explicit bnp 0.0191780822 0.30354660275647055 0.03355392071169843
Explicit bnp 0.0849315068 0.3012142275316685 0.008582687077371757
Explicit bnp 0.1616438356 0.3045406459395146 0.0018247106297856963
Explicit bnp 0.2383561644 0.3083981745208789 0.0018023026847189935
Explicit bnp 0.4904109589 0.3142287340578559 0.0032421777186507
Explicit bnp 0.7479452055 0.3276284732311575 0.0025333229958398873
Explicit bnp 1.0 0.34125336032195697 0.003907355965394387
Explicit bnp 1.495890411 0.3514005096071431 0.0047418818152083165
Explicit bnp 2.0 0.3608189860667825 0.004074653035403773
Explicit bnp 3.0 0.3865437041822338 0.0024578729775047163
Explicit bnp 4.0 0.4020275702919008 0.0015765526138582684
Explicit bnp 4.997260274 0.4137751913623515 0.0010325972575499778
Explicit bnp 7.002739726 0.42228280645980565 7.777761685164128E-4
Explicit bnp 10.002739726 0.43113265310287524 0.0011534381930086968
Explicit axa 0.0191780822 0.2535705307572753 0.03750951539048163
Explicit axa 0.0849315068 0.23790449563384866 0.009562895171628363
Explicit axa 0.1616438356 0.2412694156488266 0.002133908227272414
Explicit axa 0.2383561644 0.24850664076841114 0.0020408333896237167
Explicit axa 0.4904109589 0.25690928041493866 0.002123509320478695
Explicit axa 0.7479452055 0.2713929292797024 0.0028878534778510245
Explicit axa 1.0 0.28328320604523943 0.005257542461186148
Explicit axa 1.495890411 0.28449934571175695 0.0035076382805317046
Explicit axa 2.0 0.2938156065009965 0.002575338911646092
Explicit axa 3.0 0.30520065588046746 0.0015377781724003167
Explicit axa 4.0 0.31352721623129487 9.690427667119735E-4
Explicit axa 4.997260274 0.3210442171454788 6.117443260027672E-4
Explicit axa 7.002739726 0.3350435466305475 2.7663437301626436E-4
Explicit axa 10.002739726 0.3520274343390755 8.875218882809318E-4
Explicit airliq 0.0191780822 0.1710735922146516 0.024632130654169256
Explicit airliq 0.0849315068 0.17356310177330325 0.0084195142373391
Explicit airliq 0.1616438356 0.1756384854105811 0.002835442042526254
Explicit airliq 0.2383561644 0.1781811947736682 0.0013970109654077062
Explicit airliq 0.4904109589 0.18351549737274753 0.0012142255688273945
Explicit airliq 0.7479452055 0.19453638638332324 0.0023349110618991536
Explicit airliq 1.0 0.20253981779013144 0.002436743682045567
Explicit airliq 1.495890411 0.20207847487547445 0.0029035207761029685
Explicit airliq 2.0 0.2109715210249948 0.0024493228468223556
Explicit airliq 3.0 0.22166072976926007 0.001984766469490893
Explicit airliq 4.0 0.22943227190332516 0.0017506314417293375
Explicit airliq 4.997260274 0.23653906448478712 0.0016105464165179985
Explicit airliq 7.002739726 0.24919530478058416 0.0015365899111155197
Explicit airliq 10.002739726 0.2768034379035727 0.0016917582901636225
Explicit bancorp 0.0191780822 0.2288659572602601 0.01334191109697915
Explicit bancorp 0.0849315068 0.2218164452900344 0.007108989249058494
Explicit bancorp 0.1616438356 0.21717261856344472 0.0037356571089858168
Explicit bancorp 0.2383561644 0.21441171677596657 0.0027046055941611657
Explicit bancorp 0.4904109589 0.2212097763868311 0.005151862475712148
Explicit bancorp 0.7479452055 0.22603871507349982 0.007826385483380813
Explicit bancorp 1.0 0.22857414419372651 0.00923352748076922
Explicit bancorp 1.495890411 0.23149641849124847 0.010701807697179619
Explicit bancorp 2.0 0.2334315329164713 0.01148995594867815
Explicit bancorp 3.0 0.23633242627665027 0.01230700121473029
Explicit bancorp 4.0 0.23886764589986448 0.012742993107047466
Explicit bancorp 4.997260274 0.2413681763326652 0.013022052003292092
Explicit bancorp 7.002739726 0.2468398122256989 0.013370453691173517
Explicit bancorp 10.002739726 0.25724391136433505 0.013684353412268311
Explicit wells 0.0191780822 0.28169323005611585 0.05922534639341968
Explicit wells 0.0849315068 0.25403070727398497 0.018116510749818522
Explicit wells 0.1616438356 0.24641820702186618 0.006413340469918736
Explicit wells 0.2383561644 0.24406567009689317 0.0035810546575712784
Explicit wells 0.4904109589 0.263026009250864 0.003745432036942258
Explicit wells 0.7479452055 0.27153327522359016 0.00362672682780692
Explicit wells 1.0 0.2759573391381868 0.0031235690167276675
Explicit wells 1.495890411 0.27730433312100694 0.002848983915603931
Explicit wells 2.0 0.2808649586712252 0.002774281847543534
Explicit wells 3.0 0.2822272289888671 0.002961818214292996
Explicit wells 4.0 0.28553207631851607 0.0035902208056297763
Explicit wells 4.997260274 0.29005740445668077 0.004075955828834076
Explicit wells 7.002739726 0.30296702510837564 0.004713123596078753
Explicit wells 10.002739726 0.34930289473830645 0.005252614519011399
Explicit dell 0.0191780822 0.2904780818440622 0.052229145622456924
Explicit dell 0.0849315068 0.33172432624258286 0.01972234209646677
Explicit dell 0.1616438356 0.34308507513082176 0.008068562214546344
Explicit dell 0.2383561644 0.3471530228343021 0.0030916122877733872
Explicit dell 0.4904109589 0.34786496541132744 0.001512075536012795
Explicit dell 0.7479452055 0.35143003338946693 6.361056189539544E-4
Explicit dell 1.0 0.359475569282399 5.575830609143144E-4
Explicit dell 1.495890411 0.37573578281295344 9.782302982491147E-4
Explicit dell 2.0 0.3850405092733044 0.0012347084256901788
Explicit dell 3.0 0.39595608326071197 0.0015088689585121466
Explicit dell 4.0 0.4035276196197518 0.001654927220955346
Explicit dell 4.997260274 0.4101110237552852 0.001753105924594379
Explicit dell 7.002739726 0.4234917000422417 0.0018827904354370823
Explicit dell 10.002739726 0.4508231343531739 0.002009531754324038