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sabr_fit_lm_gn3.txt
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guess asset expiry alpha error
LM 1 0.057534247 0.2707099848843612 1.4573956342209336E-4
LM 1 0.153424658 0.25632841678547297 1.296298464356975E-4
LM 1 0.230136986 0.2559924000286909 8.640872345954104E-5
LM 1 0.479452055 0.254840317129718 7.255875003616614E-5
LM 1 0.728767123 0.2565592082983976 3.5592374194006666E-5
LM 1 1.22739726 0.25975050486480333 2.6200642159599624E-5
LM 1 1.726027397 0.2606526472198361 2.0263786111663136E-5
LM 1 2.243835616 0.2617715168410682 1.6795508406197022E-5
LM 1 2.742465753 0.2616171538116114 1.5010969294375893E-5
LM 1 3.24109589 0.2623756166787363 1.3691824541925665E-5
LM 1 4.238356164 0.26335074791220514 1.1995382866207259E-5
GN 1 0.057534247 0.27070998489343107 1.4573956342203915E-4
GN 1 0.153424658 0.2563284167890373 1.2962984643558306E-4
GN 1 0.230136986 0.2559924000348828 8.640872345956713E-5
GN 1 0.479452055 0.2548403171091987 7.255875003614275E-5
GN 1 0.728767123 0.2565592082994248 3.559237419403529E-5
GN 1 1.22739726 0.2597505048527799 2.6200642159582897E-5
GN 1 1.726027397 0.26065264720087056 2.026378611178522E-5
GN 1 2.243835616 0.26177151682634653 1.6795508406193255E-5
GN 1 2.742465753 0.2616171538232241 1.5010969294524156E-5
GN 1 3.24109589 0.2623756166732565 1.369182454197404E-5
GN 1 4.238356164 0.26335074796473573 1.199538286620217E-5
LM sp500 0.0191780822 0.18085528410146778 0.02832997186230714
LM sp500 0.0849315068 0.1658427368123011 0.013695216644208707
LM sp500 0.1616438356 0.1622387536211416 0.009561670154309735
LM sp500 0.2383561644 0.16481233079341967 0.010508012390099917
LM sp500 0.4904109589 0.1725715440161981 0.01140425028586652
LM sp500 0.7479452055 0.18098936906475896 0.010376901922327219
LM sp500 1.0 0.18691863128939554 0.008970051533133098
LM sp500 1.495890411 0.19907583076966437 0.005626400676990869
LM sp500 2.0 0.2085956487872366 0.0038600919344358503
LM sp500 3.0 0.22611672119873524 0.0027927875178216403
LM sp500 4.0 0.23631505794630148 0.0021926991075019403
LM sp500 4.997260274 0.24299061680185963 0.0018592880779188272
LM sp500 7.002739726 0.2754636540401789 0.0014101913737397367
LM sp500 10.002739726 0.332864288652858 0.0011201752682873504
GN sp500 0.0191780822 0.18085594494778912 0.028329971870470778
GN sp500 0.0849315068 0.16584305583513315 0.013695216646438826
GN sp500 0.1616438356 0.16223890995037105 0.009561670155315873
GN sp500 0.2383561644 0.164813149430145 0.010508012409327935
GN sp500 0.4904109589 0.17257248811179488 0.011404250363691195
GN sp500 0.7479452055 0.1809907952950668 0.010376902013754068
GN sp500 1.0 0.18691725636148634 0.008970051634258106
GN sp500 1.495890411 0.19907534334784877 0.005626400692522252
GN sp500 2.0 0.20859541916666535 0.0038600919380537575
GN sp500 3.0 0.22611664346525753 0.002792787518103469
GN sp500 4.0 0.2363149978071486 0.002192699107602393
GN sp500 4.997260274 0.24299056402973584 0.0018592880779834768
GN sp500 7.002739726 0.2754640105678462 0.0014101913769035037
GN sp500 10.002739726 0.3465162212032162 0.017739356002557088
LM euro50 0.0191780822 0.18730871491489348 0.026538075985881596
LM euro50 0.0849315068 0.17736039463872383 0.010799835510396205
LM euro50 0.1616438356 0.17840839056619207 0.003801112715671288
LM euro50 0.2383561644 0.18609529006037573 0.0023842619918204755
LM euro50 0.4904109589 0.19937821210466733 0.0024243213890886056
LM euro50 0.7479452055 0.21047711027974464 0.00272126516751393
LM euro50 0.997260274 0.21867108617492795 0.002703845369582254
LM euro50 1.495890411 0.22690118284776997 0.002545690740190732
LM euro50 1.997260274 0.23010115070411669 0.002071953180758431
LM euro50 2.997260274 0.23224377405279495 0.0015472915585595568
LM euro50 4.0 0.2334456411791215 0.00126655515679452
LM euro50 4.997260274 0.23483793703336794 0.0011431202022064056
LM euro50 7.0 0.2369648091941951 0.0010035953070055257
LM euro50 10.002739726 0.23952202235263845 9.0307224010089E-4
GN euro50 0.0191780822 0.18731241692814787 0.026538076070279106
GN euro50 0.0849315068 0.17736039298670941 0.010799835510831619
GN euro50 0.1616438356 0.17840838275977 0.0038011127156764675
GN euro50 0.2383561644 0.18609529280400983 0.0023842619918221187
GN euro50 0.4904109589 0.1993782077881337 0.0024243213891007942
GN euro50 0.7479452055 0.21047712032751636 0.0027212651675315295
GN euro50 0.997260274 0.21867106894377947 0.002703845369946741
GN euro50 1.495890411 0.22690115946688102 0.0025456907405493738
GN euro50 1.997260274 0.23010113236679497 0.002071953180810162
GN euro50 2.997260274 0.23224376748853418 0.0015472915585648859
GN euro50 4.0 0.2334456447377783 0.0012665551568030386
GN euro50 4.997260274 0.2348379473149708 0.0011431202022211978
GN euro50 7.0 0.236964833710466 0.0010035953070311205
GN euro50 10.002739726 0.23952206280108002 9.030722401325176E-4
LM msci 0.0191780822 0.2406800896272027 0.055681197640948324
LM msci 0.0849315068 0.2226784459003101 0.014321181736514477
LM msci 0.1616438356 0.22121142712884584 0.0055115737996760976
LM msci 0.2383561644 0.22399865633762728 0.014422089282745888
LM msci 0.4904109589 0.2211303388658022 0.014140676794106135
LM msci 0.7479452055 0.2382699584060149 0.009799916665460482
LM msci 1.0 0.24647330560124117 0.00785733927270665
LM msci 1.495890411 0.2336262234529675 0.00573375703192842
LM msci 2.0 0.2255363728230119 0.004486295079436604
LM msci 3.0 0.21848829332837894 0.003107153820927118
LM msci 4.0 0.2161763067492771 0.002356082056360338
LM msci 4.997260274 0.2148713770322116 0.001963093699031848
LM msci 7.002739726 0.21570707609335663 0.0017335232905886003
LM msci 10.002739726 0.22184512543100832 0.0017957537311763699
GN msci 0.0191780822 0.24032595703557633 0.055682000480880234
GN msci 0.0849315068 0.22267943871580648 0.014321181755606495
GN msci 0.1616438356 0.22121143862901269 0.0055115737996832585
GN msci 0.2383561644 0.22399742359451422 0.014422089370737374
GN msci 0.4904109589 0.22113020786602566 0.014140676846607744
GN msci 0.7479452055 0.23826642553047217 0.009799917269834339
GN msci 1.0 0.24647720762746125 0.007857339849875062
GN msci 1.495890411 0.23363823539056264 0.005733762941427909
GN msci 2.0 0.22555528455049698 0.004486309571164241
GN msci 3.0 0.218528631688225 0.003107310090993271
GN msci 4.0 0.2164427237610647 0.002504690097959124
GN msci 4.997260274 0.21481533203797154 0.0019855547994371728
GN msci 7.002739726 0.21570707756045354 0.0017335233163323714
GN msci 10.002739726 0.22184802086649003 0.001795755559717475
LM bnp 0.0191780822 0.3035331687604833 0.033539539635438306
LM bnp 0.0849315068 0.301193811529577 0.00854327404295663
LM bnp 0.1616438356 0.3045258198522707 0.0017848895712641814
LM bnp 0.2383561644 0.3083774558149037 0.00173470829594007
LM bnp 0.4904109589 0.31419501168746167 0.00316150001093432
LM bnp 0.7479452055 0.32755543328974746 0.0024674163007562693
LM bnp 1.0 0.3410848878003674 0.0038594396291217778
LM bnp 1.495890411 0.3509962983349182 0.004642198211222662
LM bnp 2.0 0.36002338624394414 0.003942262036503182
LM bnp 3.0 0.3851490482174449 0.0024021092898753793
LM bnp 4.0 0.39992855790961257 0.001551731921460284
LM bnp 4.997260274 0.41069576698091625 0.0010244778286805734
LM bnp 7.002739726 0.4186198802411384 7.261525287893518E-4
LM bnp 10.002739726 0.42389262384962034 0.0011204297218226425
GN bnp 0.0191780822 0.30351201564830893 0.03353954668304646
GN bnp 0.0849315068 0.3011937017181114 0.008543274043431855
GN bnp 0.1616438356 0.30452582002927514 0.0017848895712641514
GN bnp 0.2383561644 0.30837745597808913 0.0017347082959401087
GN bnp 0.4904109589 0.3141950007544768 0.0031615000109512675
GN bnp 0.7479452055 0.32755540334739 0.002467416301135216
GN bnp 1.0 0.3410914009328326 0.0038594414939495942
GN bnp 1.495890411 0.35099703373850005 0.004642198221314305
GN bnp 2.0 0.3600231739981773 0.0039422620376717375
GN bnp 3.0 0.3851509324775639 0.0024021093136098385
GN bnp 4.0 0.399935549012893 0.0015517324064308572
GN bnp 4.997260274 0.41072753428445685 0.0010353198792323352
GN bnp 7.002739726 0.4186198796214076 7.261525335657547E-4
GN bnp 10.002739726 0.42389262226082164 0.0011204297246939956
LM axa 0.0191780822 0.25355764960419774 0.037499630164017306
LM axa 0.0849315068 0.237880631521094 0.009537751320055335
LM axa 0.1616438356 0.24124159710718387 0.0020941831261601434
LM axa 0.2383561644 0.2484641684802218 0.001977177717012042
LM axa 0.4904109589 0.2568796901063686 0.002054758310578027
LM axa 0.7479452055 0.2713544538680002 0.0028250547628401756
LM axa 1.0 0.28319765949943854 0.005197776962726607
LM axa 1.495890411 0.28436672831561466 0.0034388706110693775
LM axa 2.0 0.29364457415421213 0.002521889522622416
LM axa 3.0 0.3048964115726291 0.001501853192514525
LM axa 4.0 0.31298744264762335 9.438728161046378E-4
LM axa 4.997260274 0.3201238917275253 5.942455077346162E-4
LM axa 7.002739726 0.3336035277077762 2.20111596882779E-4
LM axa 10.002739726 0.34759376924149177 7.895571428038341E-4
GN axa 0.0191780822 0.2534239437951526 0.03749978356706612
GN axa 0.0849315068 0.2378802447730209 0.009537751324347268
GN axa 0.1616438356 0.24124159637754605 0.002094183126160222
GN axa 0.2383561644 0.24846416844311967 0.001977177717012086
GN axa 0.4904109589 0.25687967980596704 0.002054758310604483
GN axa 0.7479452055 0.27135441397148924 0.0028250547632861435
GN axa 1.0 0.28319999762804954 0.00519777719265527
GN axa 1.495890411 0.28436678323145326 0.003438870614704216
GN axa 2.0 0.2936449110487924 0.0025218895312635794
GN axa 3.0 0.30489719297704504 0.001501853208900674
GN axa 4.0 0.31298848642074484 9.438728476861874E-4
GN axa 4.997260274 0.3201244048972206 5.942455147404018E-4
GN axa 7.002739726 0.3345766676523635 0.0038157924926512507
GN axa 10.002739726 0.34759376825071375 7.895571521025596E-4
LM airliq 0.0191780822 0.1710619234006806 0.02462211057336225
LM airliq 0.0849315068 0.1735445734020575 0.008400978981255912
LM airliq 0.1616438356 0.17561725443053053 0.0028186890423928584
LM airliq 0.2383561644 0.1781625653971729 0.0013867704630673616
LM airliq 0.4904109589 0.18350694547056928 0.0011919797283600506
LM airliq 0.7479452055 0.19452506479892887 0.0023013199958548647
LM airliq 1.0 0.20252111464537798 0.0024066286049269953
LM airliq 1.495890411 0.20204328364470958 0.0028588470129928024
LM airliq 2.0 0.21090856899687235 0.0024069200552442045
LM airliq 3.0 0.22150200431610859 0.0019449492272365565
LM airliq 4.0 0.22910165733304916 0.0017127715316755667
LM airliq 4.997260274 0.23591988381889584 0.0015743069359425946
LM airliq 7.002739726 0.24872756334023227 0.0014496134152236775
LM airliq 10.002739726 0.2733177465845749 0.0015111356803354744
GN airliq 0.0191780822 0.17105881819590812 0.024622110677278194
GN airliq 0.0849315068 0.17354460412254394 0.008400978981287655
GN airliq 0.1616438356 0.17561725362122674 0.002818689042392909
GN airliq 0.2383561644 0.17816256461713706 0.0013867704630674508
GN airliq 0.4904109589 0.18350694509984877 0.0011919797283614882
GN airliq 0.7479452055 0.19452505944501383 0.002301319995899652
GN airliq 1.0 0.2025210754187063 0.0024066286057120635
GN airliq 1.495890411 0.20204315417228286 0.0028588470162552947
GN airliq 2.0 0.2109085101666127 0.002406920056442775
GN airliq 3.0 0.22150206708975168 0.0019449492280965751
GN airliq 4.0 0.22910178851185609 0.0017127715331690465
GN airliq 4.997260274 0.23592018166207668 0.0015743069396744384
GN airliq 7.002739726 0.24872756313686287 0.0014496134242442348
GN airliq 10.002739726 0.2733177157002885 0.001511135701682018
LM bancorp 0.0191780822 0.22884983230675313 0.013326668337735601
LM bancorp 0.0849315068 0.2217894781121891 0.0070909868073493025
LM bancorp 0.1616438356 0.21713800900420968 0.003724879765350661
LM bancorp 0.2383561644 0.21436777675329216 0.002707107608304429
LM bancorp 0.4904109589 0.22112082982529052 0.005078775064442872
LM bancorp 0.7479452055 0.22593082649356314 0.007740846462859272
LM bancorp 1.0 0.22843935382684122 0.009139215248173098
LM bancorp 1.495890411 0.2312931664316533 0.010590478336003715
LM bancorp 2.0 0.23313652251383302 0.011361188328621678
LM bancorp 3.0 0.23579030680347848 0.012144027335336136
LM bancorp 4.0 0.237977800663683 0.012545572250032685
LM bancorp 4.997260274 0.24001456104191682 0.01279036999154842
LM bancorp 7.002739726 0.24410269064996945 0.013070623572383038
LM bancorp 10.002739726 0.25069413824356335 0.013284541866334838
GN bancorp 0.0191780822 0.22884991275604177 0.013326668337924511
GN bancorp 0.0849315068 0.22178949683115506 0.007090986807366403
GN bancorp 0.1616438356 0.21713801044155367 0.003724879765351311
GN bancorp 0.2383561644 0.2143677768487952 0.002707107608304544
GN bancorp 0.4904109589 0.22112085823514627 0.005078775064481421
GN bancorp 0.7479452055 0.225930594422278 0.00774084646437272
GN bancorp 1.0 0.228438095735152 0.009139215297541043
GN bancorp 1.495890411 0.23128964429296095 0.010590479195760335
GN bancorp 2.0 0.23313281003284064 0.011361192166710507
GN bancorp 3.0 0.2357951256261111 0.012144056324805698
GN bancorp 4.0 0.23800044458386424 0.012545727109642827
GN bancorp 4.997260274 0.2400576257376636 0.012790931797525646
GN bancorp 7.002739726 0.2441488552330066 0.013073581294599927
GN bancorp 10.002739726 0.2503515084363202 0.01329150224916803
LM wells 0.0191780822 0.28169252163646236 0.05921970743077715
LM wells 0.0849315068 0.2539805142812788 0.018077320789390006
LM wells 0.1616438356 0.2463390694750811 0.006331675056270335
LM wells 0.2383561644 0.24398836714430916 0.0035028718107177823
LM wells 0.4904109589 0.26299805402866877 0.0036586333952037748
LM wells 0.7479452055 0.27149746890612425 0.0035515410439612488
LM wells 1.0 0.27589636214122687 0.003053136656623125
LM wells 1.495890411 0.27717151273531443 0.0027965808228040566
LM wells 2.0 0.2808871868994408 0.0027726369267718283
LM wells 3.0 0.2821864476076093 0.002871814887799513
LM wells 4.0 0.2853764787807355 0.0034642734762532
LM wells 4.997260274 0.2897021161735924 0.003926477672254914
LM wells 7.002739726 0.30164996746113765 0.0045236031741358726
LM wells 10.002739726 0.3351191360682698 0.0050068494945496
GN wells 0.0191780822 0.28058957122704375 0.059229072199218066
GN wells 0.0849315068 0.2539818286732514 0.018077320813450874
GN wells 0.1616438356 0.2463390727214687 0.006331675056272175
GN wells 0.2383561644 0.24398836616172856 0.0035028718107179904
GN wells 0.4904109589 0.26299808218883886 0.0036586333952764987
GN wells 0.7479452055 0.27149743160006173 0.003551541044113624
GN wells 1.0 0.27589624919855055 0.0030531366586038036
GN wells 1.495890411 0.27717149678252007 0.0027965808236114988
GN wells 2.0 0.28088718677728 0.002772636907980113
GN wells 3.0 0.2821864477242174 0.002871814912729527
GN wells 4.0 0.2853764783601309 0.0034642735075079024
GN wells 4.997260274 0.28970212025811304 0.003926477703621672
GN wells 7.002739726 0.3016499707260868 0.004523603203802699
GN wells 10.002739726 0.33511914734326786 0.005006849522242631
LM dell 0.0191780822 0.2904328811694083 0.05219433474239619
LM dell 0.0849315068 0.33165226247236523 0.019665406738363356
LM dell 0.1616438356 0.3429790813966865 0.008001322705839385
LM dell 0.2383561644 0.3470659579619473 0.003039341306689935
LM dell 0.4904109589 0.3478080877953854 0.0015595471276428248
LM dell 0.7479452055 0.35140293125868644 6.547654723231824E-4
LM dell 1.0 0.35944643112260033 5.47515915527052E-4
LM dell 1.495890411 0.375626860092528 9.558709867342957E-4
LM dell 2.0 0.38479859030568037 0.0012005550029688247
LM dell 3.0 0.39526941303744373 0.0014509234640634077
LM dell 4.0 0.40210894959293836 0.0015736017554912913
LM dell 4.997260274 0.40760531241215886 0.00164883064200472
LM dell 7.002739726 0.4172862132483515 0.0017330325187430726
LM dell 10.002739726 0.4315789717899422 0.00179396783060938
GN dell 0.0191780822 0.29043836231296577 0.052194334907885435
GN dell 0.0849315068 0.3316523429014753 0.01966540673847641
GN dell 0.1616438356 0.3429790808599849 0.008001322705839416
GN dell 0.2383561644 0.34706595819126734 0.0030393413066899227
GN dell 0.4904109589 0.3478080876532293 0.0015595471276428127
GN dell 0.7479452055 0.35140293128876215 6.547654723231101E-4
GN dell 1.0 0.3594464303688529 5.475159155271861E-4
GN dell 1.495890411 0.375626863082334 9.558709867472674E-4
GN dell 2.0 0.3847986040921171 0.0012005550030194767
GN dell 3.0 0.39526945843435257 0.0014509234641950628
GN dell 4.0 0.402109039829209 0.0015736017556778241
GN dell 4.997260274 0.40760544387419895 0.0016488306422204186
GN dell 7.002739726 0.41728641880718825 0.0017330325189460298
GN dell 10.002739726 0.43157924974403905 0.0017939678307057128