private static string SabrAtmCalibrationWithTenor()
{
const string expiry = "3m";
const string tenor = "0.25y";
const string swaption = "VOLGRID " + expiry + tenor;
const double atmVolatility = 20;
const double assetPrice = 3.44;
const double nu = 0.7561;
const double rho = -0.3702;
string handle = Handle(expiry, tenor);
SabrCalibrationSettings(swaption);
return(SABRHelper.CalibrateSabrAtmModelWithTenor(handle, swaption, nu, rho, atmVolatility,
assetPrice, expiry, tenor));
}
public void SabrInterpolateVolatilityTest2()
{
const string expiry = "6m";
const double strike = 0.03;
const double assetCode = 5.0587;
const double nu = 0.9211;
const double rho = -0.2823;
const double atmVol = 23.18;
const string tenor = "1y";
const string handle = "6m1y ATM VOLGRID Calibration";
string swaption = SABRHelper.AddSabrCalibrationSettings("VOLGRID 6m1y", "Swaption", "AUD", 1);
string handle2 =
SABRHelper.CalibrateSabrAtmModelWithTenor(handle, swaption, nu, rho, atmVol,
assetCode, expiry, tenor);
decimal actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, strike);
const double expected = 1.3829;
Assert.AreEqual(expected, (double)actual, 0.0001);
}
