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Questions tagged [sabr-model]

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0answers
67 views

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.
0
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1answer
103 views

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 ...
1
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0answers
40 views

Proof of no arb condition after shifting SABR’s rho

Does anyone know of any paper or research where they shift SABR’s skew and rebuild the surface? In particular, I would like to prove theoretically whether the no arbitrage condition hold for the ...
1
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1answer
352 views

python scipy optimize minimize arguments for Implied Volatility

I am having some trouble getting the 'correct' solution to a function where I am trying to utilize scipy.optimize.minimize. In the code below, I create a function <...
2
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0answers
64 views

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 ...
2
votes
1answer
1k views

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 ...
2
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2answers
494 views

Black and Normal Model for Caplet using Python

I am able to Price Caplet using Black 76 model in Python. However, I am unable to price the same with Normal Model. Can anyone suggest what is missing ? I am valuing caplet that caps interest rate on ...
1
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0answers
79 views

Comparison of various improvements to Hagan's SABR formula?

There has been several papers improving the original Hagan's approximation formula (see this answer) to SABR model. At least, I know three below: Obloj Paulot (Also see this thread) Balland (Download)...