This work is to implement in Python the SABR volatility model for swaptions and its calibration. The attached script takes market data of forward rates and swaption volatilities, then calibrates the parameters in order to get the implied volatilities.Formulas are given by Hagan et al. (2002), it...

This study identifies upcoming trends for XBRL (Extensible Business Reporting Language). While most of the articles focus on technological aspects such as ontology and software engineering this article relates to accounting-related aspects of the taxonomy. The taxonomy can be regarded as a main...