%% Compute the Implied Black Volatility Using the SABR Model
% Define the model parameters and option data.

ForwardRate = 0.0357;
Strike = 0.03;
Alpha = 0.036;
Beta = 0.5;
Rho = -0.25;
Nu = 0.35;
  
Settle = datenum('15-Sep-2013');
ExerciseDate = datenum('15-Sep-2015');

%
% Compute the Black volatility using the SABR model.

ComputedVols = blackvolbysabr(Alpha, Beta, Rho, Nu, Settle, ...
ExerciseDate, ForwardRate, Strike)

% Copyright 2015 The MathWorks, Inc.