<t>Hello, Has anyone implemented SABR density when Beta = 1. ?some solutions:- I'm inclined to go with Paulot's approx up to order 1 and integrate this.- Alan Lewis has a neat solution but it's a bit computationally intense (looking forward to his second book though).- Labordere too has an exact sol...

<t>Sorry to jump in on this ZhuLiAn, but "Because the SABR formula do not make sense in the wings", you mean the Hagan's approximation of the SABR SDEs? Because SABR with a decent approx (and I'm not here to launch the debate about this) can solve a lot of the problem. again refer to Doust, Antonov,...

<t>one thing worth mentioning though and that is probably lacking in our field these days, it's each asset class has its own specifics.The (very good) paper French X points is in my opinion, more equities orientated. I'm a big fan of Doust's, but this is more IR orientated. I guess, there aren't mar...

<t>I think your question requires a bit of context.Considering you're inside a "slice" or for a given tenor (expiries/strikes), the interpolation scheme will be depending on your model of choice.In short, you can either choose to interpolate the calibrated parameters of your vol models and plug thes...

thanks Peter, the topic is very interesting. This is indeed an area which should be looked at (convexity correction in a normal vol world). I'll have a look and revert.K.

@outrun that looks like a smart idea. let me try this and revert.

<t>yeah, again to reiterate an idea which work somehow ok-ish: just re-order the n-vectors and iterate (quite quickly) to find the closest available point... after that you can look at the neighbour points and start to apply some interpolation technique....mind you this is quite a useful and interes...

that's quite true actually!// Perform boundary safe 'intOrder'-th interpolation of weights in dimension 'dim'// at current value 'xvalthis might be very helpful.

<t>well, thank you all Quartz, Outrun, Daniel for your answers.First, I'll try and give some context:I have 5 dimensions. The grid is quite massive.Actually, it's the interpolation on the d0 absorption density matrix given by Doust (in his paper no-arbitrage SABR). I also generated by a MC method. S...

thanks.I was going for a Nearest-neighbor interpolation as it seems the less complex one to implement.also, my points are close to each other (from a MC simulation effectively).

Hi,anyone has a recommendation for a decent n-dimension (greater than 3) interpolation method (and maybe some code...).K.

Cazou,I'd read Antonov:Antonov's SABRworking on a similar case. we can compare notes.

just use a Normal model... bpvol. you have to work out some expectations but it's not too hard.

<t>Hello,Real life scenario:I have a callable bond, I price this within a short rate modelling framework (HW, LGM...). There are exercise dates (call dates) and delivery dates (at which the money is paid). I have three curves, an estimation curve, a discounting curve and a funding curve which I use ...

<t>hi thedoc,not sure i understand what your issue is? is it that you have an fx position in none usd when trading no usd vs. non usd swap?if so what position are you talking about?:floating vs. floating?fix vs. floating?fix vs. fix?in each case you can find quite easily the equivalent hedge in the ...