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pysabr
Python implementation of the SABR volatility model
What it is
A Python implementation of the SABR model used to describe volatility smiles, especially for interest rate options. It includes the widely used Hagan approximation formulas and supports calibrating the model to market volatilities. Quant researchers and derivatives developers who need SABR in a Python workflow are the target users. It is a focused model library, so curve building and the rest of a rates pricing stack must come from elsewhere.
At a glance
Research onlyOur rating, based on popularity, maintenance and how ready it is for real use.
| Best for | Professional quants |
|---|---|
| Used for | Strategy research, Data analysis |
| Markets | Multi-market |
| Stack | Python |
| Learning curve | Moderate learning curve |
| Practical value | Medium practical value |
| Cost | Free and open source |
| Hardware | No GPU needed |
| Maintenance | No commits in over six months |
GitHub stars, last 30 days
Daily snapshots since 2026-09-28 (up to 30 days): +5 over the period, now 629. Gaps mean no snapshot was taken that day.
SABR model Python implementation.
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