DSSjissyu/sabr_params.json at main · 5ky7/DSSjissyu · GitHub

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{
  "dt": 0.0007936507936507937,
  "assets": [
    {
      "name": "sp500",
      "mu": 0.39618119885823033,
      "alpha": 0.322692299082136,
      "beta": 1.0,
      "nu": 2.320554355441296,
      "rho": -0.08369061964819496,
      "s0": 100.0
    },
    {
      "name": "DGS10",
      "mu": 0.03339676498572802,
      "alpha": 2.0578758426975883,
      "beta": 1.0,
      "nu": 2.368382196809701,
      "rho": 0.01976439869526141,
      "s0": 100.0
    }
  ],
  "brownian_corr": [
    [
      1.0,
      -0.083690619648195,
      -0.057050521306738676,
      -0.025339772678427932
    ],
    [
      -0.083690619648195,
      1.0,
      -0.025199786062614974,
      0.2209074036140162
    ],
    [
      -0.057050521306738676,
      -0.025199786062614974,
      1.0,
      0.019764398695261132
    ],
    [
      -0.025339772678427932,
      0.2209074036140162,
      0.019764398695261132,
      1.0
    ]
  ]
}