Main Content

SABR Model

Calculate implied volatility and option sensitivities using SABR and Shifted SABR models

Compute implied Black volatility, implied Normal volatility, or option sensitivities using a SABR model.

Functions

blackvolbysabrCalculate implied Black volatility using SABR model
normalvolbysabrImplied Normal (Bachelier) volatility by SABR model
optsensbysabrCalculate option sensitivities using SABR model

Topics