/SABR_Volatility-Rates

Primary LanguageJupyter NotebookGNU General Public License v3.0GPL-3.0

SABR volatility model - Interest Rates

Overview

This project studies the SABR volatility model. The purpose of this work is to implement and calibrate the SABR volatility model for swaptions in Python and study the impact of its parameters. First, it provides a close form solution for implied volatility that accurately captures the market smile volatility dynamics. Second, using market data of forward rates and swaption volatilities, we calibrate the parameters in order to obtain the implied volatilities.

Finally, an in-depth study of the impact of SABR parameters $\alpha$, $\beta$, $\rho$, $\nu$ is conducted.

Our summary and research approach is documented in the .pdf report.

Authors

  • Amal BACHA & Lucas RODRIGUEZ
  • Academic works - October/November 2022