SABR and Multi-curve

[jeffrey]

Dear all,

I hope this email finds you well.

I am struggling to understand the impact of the  multi-curve framework on the SABR model.

How to calibrate the SABR model in the multi-curve era ? ( if possible! )

Is there any link between the SABR and the multi-curve approach? How can I do such connection?

Many thanks in advance!

Jeffrey

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[MikeD]

IMO, multi-curve approach simply means that your ATMF rate will be slightly different vs the old single-curve framework.  It shouldn't impact your calibration of skew - at least not enough to where the majority of market participants would care.  Just put in the new ATMF rate when you are computing implied vols to pass to the calibration.

On Thu, Aug 28, 2014 at 10:11 AM, Mbongo Nkounga Jeffrey Ted Johnattan <[hidden email]> wrote:

Dear all,

I hope this email finds you well.

I am struggling to understand the impact of the  multi-curve framework on the SABR model.

How to calibrate the SABR model in the multi-curve era ? ( if possible! )

Is there any link between the SABR and the multi-curve approach? How can I do such connection?

Many thanks in advance!

Jeffrey

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[jeffrey]

Dear Mike, thanks for your reply.

Can you have a look to the following link http://www.mathworks.com/help/fininst/pricing-a-swaption-using-the-sabr-model.html and tell more ?

where do I get the new rate?

Jeffrey

Le Jeudi 28 août 2014 18h23, Mike DelMedico <[hidden email]> a écrit :

IMO, multi-curve approach simply means that your ATMF rate will be slightly different vs the old single-curve framework.  It shouldn't impact your calibration of skew - at least not enough to where the majority of market participants would care.  Just put in the new ATMF rate when you are computing implied vols to pass to the calibration.

On Thu, Aug 28, 2014 at 10:11 AM, Mbongo Nkounga Jeffrey Ted Johnattan <[hidden email]> wrote:

Dear all,

I hope this email finds you well.

I am struggling to understand the impact of the  multi-curve framework on the SABR model.

How to calibrate the SABR model in the multi-curve era ? ( if possible! )

Is there any link between the SABR and the multi-curve approach? How can I do such connection?

Many thanks in advance!

Jeffrey

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