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Adjusted SABR model for negative rates

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David Meenderink
David Meenderink le 7 Mai 2015
Modifié(e) : qwerty qwerty le 29 Sep 2016
Hello, Is Matlab able to calculate the SABR model for negative interest rates? Or is it necessary to make adjustment to the model. Is Matlab making adjustments, so making available the shifted SABR or free boundary SABR models?
  1 commentaire
qwerty qwerty
qwerty qwerty le 29 Sep 2016
Modifié(e) : qwerty qwerty le 29 Sep 2016
https://www.youtube.com/watch?v=Os7ZrBjXndc its called the shifted SABR and a more evolved version of it is called the The free boundary SABR http://nx.numerix.com/rs/786-ZKT-064/images/risk0915numerix.pdf?mkt_tok=3RkMMJWWfF9wsRohvqnAZKXonjHpfsX56OsuUKO0lMI%2F0ER3fOvrPUfGjI4ATMNrM6%2BTFAwTG5toziV8R7fNKs160cEQWxfm

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Réponses (1)

DIMITRY
DIMITRY le 27 Jan 2016
Hi,
Good question as the current rates trend are goind negative. I do not find anything of the financial toolbox on interest rate working (as log normal distribution do not work anymore)! Maybe there will need a new release or you should update your model on your own. Regards,

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