How do you write the alpha vba code for the SABR model?

Answer 1

To implement the SABR model in Alpha VBA, you'll need to define the parameters such as alpha, beta, rho, and nu, along with the forward price and strike. You can then use the SABR formula to calculate the implied volatility. Here's a basic outline:

Function SABR(alpha As Double, beta As Double, rho As Double, nu As Double, F As Double, K As Double, T As Double) As Double
    ' Calculate the implied volatility using the SABR formula
    Dim z As Double, x_z As Double
    z = (nu / alpha) * (F * K) ^ ((1 - beta) / 2) * Log(F / K)
    x_z = Log((Sqr(1 - 2 * rho * z + z^2) + z - rho) / (1 - rho))
    
    SABR = alpha * (z / x_z) ^ (1 - beta)
End Function

Make sure to refine and test the formula for your specific requirements.