SABR calibration on Shiny

September 16, 2013

(This article was first published on My Life as a Mock Quant in English, and kindly contributed to R-bloggers)

As you already know(if you often use R!!), Shiny allows us to create web applications in R easily. It doesn’t require the knowledge of HTML, CSS, javascript, I mean, we don’t need to write HTML, CSS and javascript directly to create web application.

The users of your web application can change the input parameters interactively via web applications. It will give a good opportunities to understand how the model works and it’s limitation.

Systematic Investor’s examples are very nice application in financial analysis, I was so excited when I saw it at first. I decided to create my own web application by shiny as a “mock” quant.

My appication is here(you can also get the source code of this application on Github):

It is a calibration of SABR model based on Hagan’s approximation formula(Managing Smile Risk, P. Hagan et al(pdf)). In some derivative market, SABR model is de facto model, you can understand how much degree SABR model can fit market data(IV) and it’s limit.

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