<t>Hi.I knew the document but thanks for answering. I actually made my way through the model. There is no contradiction at all. I didn't get that you obtain different eta bar, v bar, theta bar for each maturity level and that each of them is consistent with the original time-dependent parameters. Ca...

<t>Hi,I'm studying the dynamic part of the Hagan document and trying to apply it to piecewise-constant parameters (for equity market). I don't see how to calibrate it. Here is how I understand the development:1. Static SABR: take a basket of options of same maturity and different strikes. The model ...