SABR implementation details


Do we have a SABR implementation for normal rates with Beta set to zero, which calibrates Rho and Nu by Implying Alpha from At-The-Money Volatilities?


The SABR formula is implemented in SabrHaganVolatilityFunctionProvider and the implementation is valid for \beta=0.

The SABR parameters are calibrated by SabrSwaptionCalibrator for swaption volatilities and SabrIborCapletFloorletVolatilityCalibrator for cap/floor volatilities, where we have some limitation in prefixing a part of the parameters. For example, in SabrSwaptionCalibrator#calibrateWithFixedBetaAndShift, we can use a predetermined \beta, but the other parameters will be determined by the calibration.

Please see these two classes for more details.

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