Create SABR
model object for Swaption
instrument
Create and price a Swaption
instrument object with a
SABR
model using this workflow:
Use fininstrument
to create a Swaption
instrument object.
Use finmodel
to specify
a SABR
model object for the Swaption
instrument.
Use finpricer
to
specify a SABR
pricing method for the Swaption
instrument.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available pricing methods for a
Swaption
instrument, see Choose Instruments, Models, and Pricers.
sets optional properties using additional
name-value pairs in addition to the required arguments in the previous
syntax. For example, SabrModelObj
= finmodel(___,Name,Value
)SabrModelObj =
finmodel("SABR",'Alpha',0.22,'Beta',0.007,'Rho',0.009,'Nu',0.03,'Shift',0.002,'VolatilityType',"black")
creates a SABR
model object. You can specify multiple
name-value pair arguments.