On dates with high short-term IV (e.g. 2020-03-16 COVID crash), the LevenbergMarquardt optimiser occasionally diverges or produces v0 values far outside reasonable bounds. Need to add parameter bounds to the QuantLib calibration or a fallback to a grid search initial guess.
On dates with high short-term IV (e.g. 2020-03-16 COVID crash), the LevenbergMarquardt optimiser occasionally diverges or produces v0 values far outside reasonable bounds. Need to add parameter bounds to the QuantLib calibration or a fallback to a grid search initial guess.