0.5 (default; lognormal-CEV midpoint)
| source | SABR literature default (Hagan-Kumar-Lesniewski-Woodward 2002); empirically common in IR vol-surface calibration |
| derivation | expert_judgment |
| quality | estimated |
| set | 2026-05-11 |
| last reviewed | 2026-05-11 |
| next review due | 2026-12-31 |
PL-07 closure (2026-05-11): retires the hardcoded β=0.5 default in sabr_surface. β controls SABR's moneyness elasticity (β=0: normal SABR / Black-Bachelier; β=1: lognormal SABR / Black-Scholes; β=0.5: CEV midpoint, common choice for IR vols). Sensitivity LOW: changing β within typical range [0.3, 0.7] shifts implied vols by <2% at-the-money; smile reshapes modestly. Calibration to observed swaption smile would replace the default once DS-058 fetcher lands and provides historical strike-grid IVs for fit.