SABR Model

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

Compute implied Black volatility, implied Normal volatility, or option sensitivities using a SABR model.

Functions

`blackvolbysabr`	Calculate implied Black volatility using SABR model
`normalvolbysabr`	Implied Normal (Bachelier) volatility by SABR model
`optsensbysabr`	Calculate option sensitivities using SABR model

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.
Calibrate the SABR Model Using Normal (Bachelier) Volatilities with Negative Strikes
This example shows how to use two different methods to calibrate the SABR stochastic volatility model from market implied Normal (Bachelier) volatilities with negative strikes.
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.
Price a Swaption Using the SABR Model
This example shows how to price a swaption using the SABR model.
Work with Negative Interest Rates Using Functions
Financial Instruments Toolbox™ computes prices for caps, floors, swaptions when modeling for negative interest-rates using functions.