Compute Black volatility for LIBOR Market Model using Rebonato formula
adds optional name-value pair arguments.outVol
= blackvolbyrebonato(___,Name,Value
)
The Rebonato approximation formula relates the Black volatility for a European swaption, given a set of volatility functions and a correlation matrix
where:
[1] Brigo, D. and F. Mercurio. Interest Rate Models - Theory and Practice. Springer Finance, 2006.