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arXiv.org e-Print Archive
Preprint . 2020
Data sources: arXiv.org e-Print Archive
SSRN Electronic Journal
Article . 2020 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2020
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
https://dx.doi.org/10.2139/ssr...
Other literature type
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SABR Smiles for RFR Caplets

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 01 Jan 2020Embargo end date: 01 Jan 2020 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Willems, Sander;

doi: 10.2139/ssrn.3567655 , 10.48550/arxiv.2004.04501

arXiv: 2004.04501

SABR Smiles for RFR Caplets

Abstract

We present a natural extension of the SABR model to price both backward and forward-looking RFR caplets in a post-Libor world. Forward-looking RFR caplets can be priced using the market standard approximations of Hagan et al. (2002). We provide closed-form effective SABR parameters for pricing backward-looking RFR caplets. These results are useful for smile interpolation and for analyzing backward and forward-looking smiles in normalized units.

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Keywords

FOS: Economics and business, Quantitative Finance - Computational Finance, Quantitative Finance - Mathematical Finance, Risk Management (q-fin.RM), Computational Finance (q-fin.CP), Pricing of Securities (q-fin.PR), Quantitative Finance - Pricing of Securities, Mathematical Finance (q-fin.MF), Quantitative Finance - Risk Management

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    selected citations
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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 4
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Average
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
4
Average
Average
Average
Green