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SABR Model

Calculate implied volatility and option sensitivities using SABR and Shifted SABR models

Functions

blackvolbysabrCalculate implied Black volatility using SABR model
normalvolbysabrImplied Normal (Bachelier) volatility by SABR model
optsensbysabrCalculate option sensitivities using SABR model

Examples and How To

Calibrate the SABR Model

This example shows how to use two different methods to calibrate the SABR stochastic volatility model from market implied Black volatilities.

Price a Swaption Using the SABR Model

This example shows how to price a swaption using the SABR model.

Price Swaptions with Negative Strikes Using the Shifted SABR Model

This example shows how to price swaptions with negative strikes by using the Shifted SABR model.

Concepts

Work with Negative Interest Rates

Financial Instruments Toolbox™ computes prices for caps, floors, swaptions when modeling for negative interest-rates.