Swaption skews and convexity adjustments

  title={Swaption skews and convexity adjustments},
  author={Fabio Mercurio and Andrea Pallavicini},
We test both the SABR model [4] and the shifted-lognormal mixture model [2] as far as the joint calibration to swaption smiles and CMS swap spreads is concerned. Such a joint calibration is essential to consistently recover implied volatilities for non-quoted strikes and CMS adjustments for any expiry-tenor pair.