# Why is the SABR volatility model not good at pricing a constant maturity swap (CMS)?

I have heard that the SABR volatility model was not good at pricing a constant maturity swap (CMS). How is that?

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Hi Al Khawarizmi, welcome to quant.SE. Do you have a source you can cite for your assertion? –  Tal Fishman Sep 27 '11 at 15:13
That was a question @ a BNP Paribas interview. I have to admit that I had no clue about the answer although I see the advantages of the SABR dynamics and the way it improved the delta hedging (as explained in the "founding" article). I still remember the interviewer mentioning higher rates and maturities though –  Al Khawarizmi Sep 27 '11 at 15:29