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

3 ビュー (過去 30 日間)
Caner
Caner 2022 年 12 月 17 日
回答済み: Dolon Mandal 2022 年 12 月 20 日
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

サインインしてこの質問に回答する。

回答 (1 件)

Dolon Mandal
Dolon Mandal 2022 年 12 月 20 日
@Caner This documentation might be of help.

カテゴリ

Help Center および File Exchange で Black Model についてさらに検索

タグ

Community Treasure Hunt

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

Start Hunting!

Translated by