%% Compute the Implied Normal (Bachelier) Volatility Using the SABR Model
% Define the model parameters and option data.

ForwardValue = 0.0209;
Strike = 0.02;
Alpha = 0.041;
Beta = 0.5;
Rho = -0.2;
Nu = 0.33;

Settle = datenum('15-Feb-2018');
ExerciseDate = datenum('15-Feb-2020');

%
% Compute the Normal (Bachelier) volatility using the SABR model.

ComputedVols = normalvolbysabr(Alpha,Beta,Rho,Nu,Settle,ExerciseDate,ForwardValue,Strike)

% Copyright 2018 The MathWorks, Inc.