xgb_clf = xgb.XGBClassifier(n_estimators=1000,
                            learning_rate=0.01,
                            max_depth=3,
                            subsample=0.8,
                            colsample_bytree=1,
                            gamma=1,
                            objective='binary:logistic',
                            scale_pos_weight = 10)

y_score_xgb = cross_val_predict(estimator=xgb_clf, X=X, y=y, method='predict_proba', cv=5)

plot_calibration_curves(y_true=y, y_prob=y_score_xgb[:,1], n_bins=10)

calibrated = CalibratedClassifierCV(xgb_clf, method='sigmoid', cv=5)

y_score_xgb_clb = cross_val_predict(estimator=calibrated, X=X, y=y, method='predict_proba', cv=5)

plot_calibration_curves(y_true=y, y_prob=y_score_xgb_clb[:,1], n_bins=10)