ATM Calibrated


Key ATM Calibrated in
SABR Model refers to an optional boolean that has an effect only if the ATM vols involve a set of option expiries and swap tenors that differ from those used in the non-ATM vols.
The current implementation only supports a uniform set of option expiries and swap tenors that applies across all strikes, in which case the setting of this boolean has no effect on the calibration numerical results.
Nevertheless, only the FALSE value is allowed because the TRUE value leads to twice as long execution times.
If absent, it is set by default to FALSE.