# Questions tagged [sabr-model]

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7 questions
1answer
486 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 ...
1answer
290 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 ...
0answers
38 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 ...
1answer
208 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 <...
0answers
35 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 ...
0answers
55 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)...
1answer
61 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 ...