October 13th, 2006, 11:08 am
Hello,I would like to implement the interpolation of the SABR model to incomplete market as written in the first message.But i can't find any information.Can someone give me the volatilities observed on the market for swaptions, let's say 2Y, 5Y,10Y,... and tenors 6M,1Y,2Y,5Y,10Y, ATM, OTM ,ITM.And then i'll try to interpolate the volatilities OTM and ITM for other swaptions, for which we only know the ATM volatility.Thank you.PS:- it doesn't matter if ur information is old - do u have somewhere a piece of a code to interpolate ?>David