All Questions
Tagged with sabr sabr-model
17 questions
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52
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Volatility surface PCA and SABR explanation gap
I am wondering how would the results of PCA on a volatility surface would be used differently than the SABR parameters. Given the first three components of a PCA are related to level, smile and skew, ...
- 139
1
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1
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377
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Can you use a forward rate curve to infer the SABR model parameters?
I am currently doing a thesis on a class of SDE parameter inference methods and using the SABR model as an example for inference. I want to extend the application to market data. My question is does ...
4
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2
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3k
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SABR model - beta
In the SABR model, the parameter beta largely controls the back-bond behaviour of the model. How do people estimate beta?
One approach is to regress atm vol vs forward, i.e.
$$\ln(\textrm{atm vol}) = \...
- 41
0
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1
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194
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Why can't the curve find the least squares parameters when I used it in SABR model? (SABR Calibration)
Follow is the SABR function part of my code in python：
...
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2
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3
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2k
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Calibrate the SABR model to the implied volatility surface
I'm currently trying to calibrate the SABR model. The question I have is that when I consider papers and other websites I only come across cases where the SABR parameters are calibrated to the implied ...
- 23
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1
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1k
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How to build a volatility surface for caps from the SABR model?
My end goal is to build a volatility surface for caps. It's well known that SABR model has Hagan approximation formulas for log-normal and normal implied volatilities of options, e.g. caplets, ...
- 853
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433
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SABR vs Dupire: when to use what?
I was wondering for which products one would use the (AF)SABR model and for which ones Dupire's Local Volatility model.
If I understand correctly, Dupire is by construction Arbitrage-Free but produces ...
- 41
2
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1
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1k
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Interpreting SABR calibration model output
Calibrate a SABR model?
Following on from this question, I have used the same market data they attached but am unsure on interpreting the output.
When I plot the SABR probabilities against strike for ...
0
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825
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How to Calibrate SABR parameters by fixing Beta(Quantlib XL/Python)
Unable to find a good example for either Quantlib XL/Python where we can calibrate Alpha, Rho and Nu by fixing Beta. Any help would be appreciated
- 55
1
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1
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400
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Is there a ZABR model on Quantlib XL
I am relatively new to QuantlibXL and would like to build a ZABR model in excel. But I cant find much help online. Any help would be appreciated
- 55
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867
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Hagan et. al original argument for SABR
In the original SABR paper (Hagan et al 2002 ), the introduction of the famous model is motivated by the observation that local volatility models spot dynamics work the wrong way. As the spot ...
- 21
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144
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How to find the right Shift for the SABR Model
I'm looking for the right approche to find the right Shift for the SABR Model.
- 676
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1
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815
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simple SABR model & negative strikes
My goal is to calibrate a simple SABR model.
I do have $tenor$, $expiry$, $forward$ and "market volatilities for strike spread" ranging from -150 to 150 bps.
I think the model can only be ...
- 309
2
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0
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154
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The Free Boundary SABR: Natural Extension to Negative Rates
In the paper by Antonov, Konikov and Spector
An alternative approximation for the SABR model is presented.
I'm interested to implement the formula for the ATM swaptions implied volatilities in the ...
- 1,012
8
votes
1
answer
2k
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SABR Question: Why does the market take the beta parameter as a constant?
SABR Question
Why does the market take the $\beta$ parameter as a "constant"?
I see most brokers quoting SABR parameters nowadays.
I've seen many banks use $\beta$=0.5 as a rule.
I've seen quants ...
- 165
3
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1
answer
8k
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Calibrate a SABR model?
How do you calibrate a SABR model using R/Python/Matlab?
Using the data example from: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2725485
1) How does one calibrate the SABR model?
2) How ...
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5
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16k
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What is the importance of alpha, beta, rho in the SABR volatility model?
I just read that SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the ...
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