Timeline for SABR Calibration
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Dec 2, 2019 at 13:48 | comment | added | Canardini | For interest swaps, the underlying is a swap rate, and it is a function of its start and end dates. Each of them are martingale under its annuity measure, therefore will have its own SABR parameters | |
| Dec 2, 2019 at 11:05 | comment | added | Giulio Graziani | It was interest rate swap | |
| Nov 29, 2019 at 14:02 | comment | added | Canardini | on which asset class? | |
| Nov 28, 2019 at 15:18 | comment | added | Giulio Graziani | Thanks for the answer, the problem is that every application of the model i found online calibrates the model on a single maturity... | |
| Nov 27, 2019 at 17:10 | review | First posts | |||
| Nov 27, 2019 at 18:18 | |||||
| Nov 27, 2019 at 17:07 | history | answered | Canardini | CC BY-SA 4.0 |