The SABR model requires a good singular perturbation analysis engine. I
haven't seen an implementation in R either, and the VBA implementation
is probably the one in Haug's book, which is a very simplified version
of the model. Someday I hope to code something like a SABR model in R,
but that's going to be a long way off, I think.

On Mon, 2010-09-27 at 06:58 -0700, abe chan wrote:

> Hello All,
> 
> I have been looking for some SABR model implementation package/code in R and 
> have found nothing. I wonder if anyone has come across the codes should they are 
> available. I can only found the model implementation in C++ and VBA only so far. 
> Thanks.
> 
> Abraham
> 
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