Results for swaptionbyblk
volatility on the surface as an input to the swaptionbyblk function. Interest-Rate Instruments Financial Instruments Toolbox Computational Finance
The calibrated Shifted SABR model is then used to compute the Shifted Black volatilities for negative strikes. The swaptions with negative strikes are then priced using the computed Shifted Black volatilities and the swaptionbyblk function with the 'Shift' parameter set to the prespecified shift.