Creating SDE in Matlab

Joined
7/9/10
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So I'm trying to create a MC simulation for SABR in Matlab.

SABR is defined as

formler.jpg


The closest thing to SABR in Matlab is

mertr.jpg


In our case, we would have

obj = sdemrd(0, 0, beta, alpha)
obj = sdemrd(0, 0, 1, nu)

The problem is, how do I define the correlation between W1 and W2? I have already estimated all the parameters alpha, beta, rho and nu so all I have to do is define the SDE and I'm good to go.
 
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