%% Compute the Shifted Black Volatility Using the Shifted SABR Model
% Define the model parameters and option data with a negative strike.

ForwardRate = 0.0002;
Strike = -0.001;  % -0.1% strike.
Alpha = 0.01;
Beta = 0.5;
Rho = -0.1;
Nu = 0.15;
Shift = 0.005;  % 0.5 percent shift

Settle = datenum('1-Mar-2016');
ExerciseDate = datenum('1-Mar-2017');

%
% Compute the Shifted Black volatility using the Shifted SABR model.

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

% Copyright 2012 The MathWorks, Inc.