Hello everyone! I'm a student and I'm writing my master thesis on the subject of negative rates, and I would like to implement the mixed SABR (Antonov et al 2015 - http://papers.ssrn.com/sol3/papers.cfm? ... id=2653682
). I would like to ask if you know if I have any chance to find on the web the matlab code (or the one of the Free boundary with zero/non-zero correlation). I'm new on matlab and it would really really help.In addition, there is one thing that I do not understand. The authors write: "we can define our model as a mixture of zero-correlation and a normal SABR SABR. Assume the forward rate Ft can be written asF = χ F(1) + (1-χ) (2),where? F (1) follows a zero-correlation Free SABR model with parameters (α, β, 0, γ)? F (2) follows a normal Free SABR model with parameters (α, 0, ρ, γ)? χ is a random variable taking value 1 with probability p and 0 with probability 1-p and independent of Both SABR processes.Clearly, this model is arbitrage-free and permits negative rates.Moreover, both of these component models have closed-form solutions for option values, and, consequently, so does the mixture model."but they do not show the final formula (closed) for pricing.I can't really understand and I don't know how to proceed!Thank you very much and sorry for my english!!