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Questions tagged [sabr-model]

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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 ...
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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 ...
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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 <...
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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 ...
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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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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)...