public void GetSABRParameterTest()
{
Swaption target = Swaption.Instance();
target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
target.SABRCalibrateModel(_engineHandle, _settingsHandle, _volatilityData, _assetData, _optionExpiry);
// Test alpha
Swaption.CalibrationParameter param = Swaption.CalibrationParameter.Alpha;
// used to be this, but not any more for some reason...
//expected = 0.0854282092142854m;
decimal expected = 0.0774577237728713m;//0.0774816286100299m
decimal actual = target.GetSABRParameter(param, _engineHandle, _expiry, _tenor);
Assert.AreEqual(expected, actual);
// Test beta
param = Swaption.CalibrationParameter.Beta;
expected = 0.95m;
actual = target.GetSABRParameter(param, _engineHandle, _expiry, _tenor);
Assert.AreEqual(expected, actual);
// Test nu
param = Swaption.CalibrationParameter.Nu;
// used to be this, but not any more for some reason...
//expected = 0.3174771160265069427371566533m;
expected = 0.7427956690310760080682235855m;//0.7397330508021633986595538765m;
actual = target.GetSABRParameter(param, _engineHandle, _expiry, _tenor);
Assert.AreEqual(expected, actual);
// Test rho
param = Swaption.CalibrationParameter.Rho;
// used to be this, but not any more for some reason...
//expected = -0.116352678779442m;
expected = -0.140204549654502m;// -0.13311810502423m
actual = target.GetSABRParameter(param, _engineHandle, _expiry, _tenor);
Assert.AreEqual(expected, actual);
}
