Azzera filtri
Azzera filtri

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

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Caner
Caner il 17 Dic 2022
Risposto: Dolon Mandal il 20 Dic 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

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

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