Need advice...

[Gabe]

Trying to create an excel SS that will run tje SABR volatility formula. However i can`t seem to get it to work. i think i`m 95% there i just can`t find the error in my formula. Anyone who has done this or is just a wiz on excel, i would much appreciate your help. The foormula is correct it`s just the way i`ve put into excel which i think is problem.

appreciated,

gabe.

 

[NotQuiteRandom]

If I can take a look at the spread sheet I will be glad to take a look.

NQR

 

[grantx]

NQR,

These files may be of interest.

Grant.

 

[rog1111]

what error does it give you ? perhaps paste just the formula here ?

rog1111

Trying to create an excel SS that will run tje SABR volatility formula. However i can`t seem to get it to work. i think i`m 95% there i just can`t find the error in my formula. Anyone who has done this or is just a wiz on excel, i would much appreciate your help. The foormula is correct it`s just the way i`ve put into excel which i think is problem.

appreciated,

gabe.

 

[Gabe]

Sabr

what error does it give you ? perhaps paste just the formula here ?

It doesn`t give errors really... the problem as far as i can work out is that the formula needs calibrating in that for different markets the input "beta" is unique and must be calibrated and then held reasonably constant with maybe only very slight changes over time. Unless my formula is completely wrong that is. I`ll try and post what i have this week. Thanks for the interest gentlemen, would really like to get somewhere with this SABR formula, it`s been bugging me for a while now.