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I am a young intern in a brokerage company and I am currently working on developing a new pricer. I would like to encode a skew-visualisation tool and the best way that appeared to me is the SABR model. It is my first internship in finance plus I do not have a quant background, so pardon me in advance if my question seems simple. Here is my problem:

The hardest part of encoding SABR is the calibration of the 4 parameters (rho, nu alpha, beta). I hopefully found a spreadsheet on the the internet from which I started and now I have something that works fine on calibrating parameters. Problem is that this works for swaptions only: the inputs are among others the swaption's swap rate which does not.

I was then wondering: HOW TO ADAPT THIS TO TREASURIE'S OPTIONS ? If someone has any clue, I would be very very grateful :) . Have a good day

Regards from France,

Leos

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