Adjusted SABR model for negative rates

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David Meenderink 2015-5-7

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编辑： qwerty qwerty 2016-9-29

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?

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qwerty qwerty 2016-9-29

编辑：qwerty qwerty 2016-9-29

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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Answer 1

DIMITRY 2016-1-27

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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,