- Joined
- 3/5/15
- Messages
- 5
- Points
- 13
Hi everybody,
I've encountered this problem and I'd love to know what you people think about it:
"In Europe we have very low rates and deflation risk, and this leads the bank to price many Floors with a strike of 0%. Also Caps with very low strikes such as 0.1% are requested"
Now:
1) Black's formula is almost useless
2) Fitting Sabr surface is quite a mess
Any suggestions? thanks in advance ^^
I've encountered this problem and I'd love to know what you people think about it:
"In Europe we have very low rates and deflation risk, and this leads the bank to price many Floors with a strike of 0%. Also Caps with very low strikes such as 0.1% are requested"
Now:
1) Black's formula is almost useless
2) Fitting Sabr surface is quite a mess
Any suggestions? thanks in advance ^^