Normal SABR calibration

[mwalkup55]

It would be very helpful to have a normal vol (bachelier) SABR pricing model. I know the bachelier model exists as an alternative to black's, but the SABR formulation is a bit different.

[domokane]

Do you have a reference ?

[mwalkup55]

I know the pysabr model has it implemented

https://github.com/ynouri/pysabr/blob/master/pysabr/models/hagan_2002_normal_sabr.py

this document shows the different formulations (normal under the "Normal Calibration Space" section):

https://www2.deloitte.com/content/dam/Deloitte/global/Documents/Financial-Services/be-aers-fsi-sabr-sensitivities.pdf

Sometimes dealers won't even provide lognormal vols for negative strikes. So if you want to fit a model, youd either have to (a) convert normal vols to lognormal or (b) calibrate SABR using normal vol variant

[domokane]

OK. Thanks. I will take a look.