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I'm exploring the SABR-LMM model. In particular, have been trying to study the effect of the parameters and their time evolution.

However, the data seems to be a major issue here. Prices for caps/floors or swaptions are hard to find. For instance, I have only been able to find ATM swaption vols.

Is it possible to do any calibration of this model using only Bloomberg data (or any database academics typically have access to?)

Thanks.

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Bloomberg (and depending on the service one subscribes to) has ITM/OTM volatility quotes and price quotes for a wide-range of expiry/tenor pairs.

The most liquid currencies are USD, and EUR. You should be able to find quotes named straddles and collars (risk reversals and butterflies in the FX world) that relate to 50, 100, 200 and 400bps relative to ATMF. These allow you to extract the implied vols at different strikes, from which to calibrate the SABR parameters and then the LMM model.

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  • $\begingroup$ Thanks for your answer. 1) I could find some Caps/Floors Black's Vol using VCUB on Bloomberg. However, I understand prices between for all the maturities are needed (i.e. 6M, 9M, 1Y, etc...) and this function is only reporting yearly maturities. How can I find more? 2) I wasn't able to find the straddle/collars. Can you provide me further guidance please? Regards. $\endgroup$
    – ForeignVolatility
    Sep 30 '18 at 21:22
  • $\begingroup$ you won't find them for such granular tenors. Beyond 1y (or 2y) they will mostly be yearly (e.g. 5y, 6y, 7y). Look for ICAP broker, or VCAP (if I remember correctly). If you have access to a Bloomberg terminal, their helpdesk will definitely point you to the right page. (if this answer is fine, please remember to vote it as the answer). $\endgroup$
    – Kiann
    Sep 30 '18 at 21:41

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