www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputetheImpliedBlackVolatilityUsingtheSABRModelExample.m
%% Compute the Implied Black Volatility Using the SABR Model % Copyright 2015 The MathWorks, Inc. %% % Define the model parameters and option data. ForwardRate = 0.0357; Strike = 0.03; Alpha = 0.036; Beta = 0.5; Rho = -0.25; Nu = 0.35; Settle = datenum('15-Sep-2013'); ExerciseDate = datenum('15-Sep-2015'); %% % Compute the Black volatility using the SABR model. ComputedVols = blackvolbysabr(Alpha, Beta, Rho, Nu, Settle, ... ExerciseDate, ForwardRate, Strike)