Clear Filters
Clear Filters

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

1 view (last 30 days)
Caner
Caner on 17 Dec 2022
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

Sign in to answer this question.

Answers (1)

Dolon Mandal
Dolon Mandal on 20 Dec 2022
@Caner This documentation might be of help.

Categories

Find more on Price and Analyze Financial Instruments in Help Center and File Exchange

Tags

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!