SABR Model
The SABR model (Stochastic Alpha, Beta, Rho) is a stochastic volatility model used to capture the volatility smile observed in the markets for derivatives, particularly interest rate options. Compute implied Black volatility, implied Normal volatility, or option sensitivities using a SABR model with the following functions:
Functions
blackvolbysabr | Calculate implied Black volatility using SABR model |
normalvolbysabr | Implied Normal (Bachelier) volatility by SABR model |
optsensbysabr | Calculate option sensitivities using SABR model |
Topics
- 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.
