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

1 visualización (últimos 30 días)
Caner
Caner el 17 de Dic. de 2022
Respondida: Dolon Mandal el 20 de Dic. de 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

Iniciar sesión para responder a esta pregunta.

Respuestas (1)

Dolon Mandal
Dolon Mandal el 20 de Dic. de 2022
@Caner This documentation might be of help.

Categorías

Más información sobre Financial Toolbox en Help Center y File Exchange.

Etiquetas

Community Treasure Hunt

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

Start Hunting!

Translated by