All Questions
Tagged with sabr volatility-surface
7 questions
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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
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Fitting volatility using SABR
I have been working on generating a volatility surface for options on SOFR futures with the help of the SABR model. I am running into some trouble for low strikes in particular, in that I cannot seem ...
4
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2
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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
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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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3
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1
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329
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Calibration of a volatility smile model on a partial smile
I'm using a well-known SABR model in order to build an implied volatility surface of caps/floors on a very illiquid market which is entirely missing OTM quotes. What happens to SABR implied smile/...
- 853
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Should one calibrate SABR model on caps or caplets?
I want to build a volatility surface for caps on a 3M index implied from SABR model. I have a set of cap normal volatilities for a range of strikes (4%, 6%, 8%, 10% and ATM) and maturities (1, 2, 3, 4 ...
- 853
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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, ...
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