Choosing "strike" in the "Price a Swaption Using the SABR Model" document

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Caner on 17 Dec 2022

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Answered: Dolon Mandal on 20 Dec 2022

Hi,

May I know how the value assigned as "strike" is determined in the Price a Swaption Using the SABR Model document?

I think this value is related to "MarketStrikes" defined at the beginning but I didn't see that clearly.

Thanks in advance

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Dolon Mandal on 20 Dec 2022

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https://se.mathworks.com/matlabcentral/answers/1880367-choosing-strike-in-the-price-a-swaption-using-the-sabr-model-document#answer_1132027

@Caner This documentation might be of help.

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