Project of Interest Rate Modelling_M2QF_University of Paris Saclay [http://www.math-evry.cnrs.fr/departement/doku.php?id=formation:master:m2if]
The objective of this project is to study the SABR model and to process an example of calibration of the model on real market data. This study consists in visualizing the curve of the volatility of the swaptions which allow us to predict the volatility at any strike. We will use the "Market-data.xlsx" database for the calibration of the SABR model.