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- SABR parameters calibrated from market data:
- maturity|alpha |beta |rho |sigma0
- 0.25 |0.542570769932 |0.5 |0.372158471968 |0.0639088550279
- 0.5 |0.461076583099 |0.5 |0.310862076569 |0.0618846387624
- 1.0 |0.407592004304 |0.5 |0.240437202933 |0.0587186921049
- 2.0 |0.336346964925 |0.5 |0.187521430279 |0.0562744663714
- 3.0 |0.353132113609 |0.5 |0.101647191578 |0.0521130271671
- 5.0 |0.349231404683 |0.5 |-0.0145283245288 |0.0472079170493
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