private static string SabrCalibrationSettings(string swaption)
{
const string instrumentType = "Swaption";
const string currency = "AUD";
const decimal beta = 1.0m;
return(SABRSwaptionInterface.AddCalibrationSettings(swaption, instrumentType, currency, beta));
}
private static string SabrAtmCalibrationWithTenor()
{
const string expiry = "3m";
const string tenor = "0.25y";
const string swaption = "VOLGRID " + expiry + tenor;
const decimal atmVolatility = 20m;
const decimal assetPrice = 3.44m;
const decimal nu = 0.7561m;
const decimal rho = -0.3702m;
string handle = Handle(expiry, tenor);
SabrCalibrationSettings(swaption);
return(SABRSwaptionInterface.CalibrateSABRATMModelWithTenor(handle, swaption, nu, rho, atmVolatility,
assetPrice, expiry, tenor));
}
