1.8 will be out sometime in April. Almost all contributions for the release are merged. I'll need some time to test it and package it.
Luigi
Dear Peter,
Thank you for your prompt reply.
My understanding is that the disadvantages of the shifted SABR approach are
similar to that of the displaced Black model. Namely, the shift is arbitrary
and difficult to justify from an objective point of view. For example,
should one use the same shift in the EUR and CHF economies, given that rates
are currently deeper in the negative domain in the latter economy?
Furthermore, lets say that a shift of 1% is chosen today but x years from
now rates are approaching -1%. Readjusting the shift will cause another
unpleasant discontinuity in sensis...
So, in my opinion the shifted SABR is a technically simple but fundamentally
poor solution that may or may not become problematic in the future. I guess
it all depends on how low rates can go... Also some of the new SABR variants
seem to behave quite well below 0...
If Luigi could give me some guidance regarding the planned release date of
1.8 that would be highly appreciated.
Best regards,
TB
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