IV Calibration used Gatherl 5 paramter to fit in the curve, and still facing below constriants:
- data is not enough to calibrate 5 paramters for some tenors
- enhance to use quasi- SVI to do two set of calibration in order to make it faster as current calibration is slow
- Find best algo (minimization method) to fit parameters
- Better way to taclke (calendar arb, butterfly arb) to incorporate into optimization method
Please refer to the attached research paper I have referred to.