C# (CSharp) ModelLibrary SABR Examples

Example #1

File: Program.cs Project: takeknock/ModelLibrary

        static void Main(string[] args)
        {
            SABR model = new SABR();
            double strike = 100.0;
            double maturity = 1.0;
            double interestRate = 0.2;

            double alpha = 0.1;
            double beta = 0.02;
            double nu = 0.1;
            double rho = 0.5;

            double actual = model.calculateHaganLogNormalApproxVol(strike, maturity, interestRate, alpha, beta, nu, rho);
            Console.WriteLine(actual);
        }

Example #2

File: UnitTest1.cs Project: takeknock/ModelLibrary

        public void TestMethod1()
        {
            SABR model = new SABR();

            double strike = 100.0;
            double maturity = 1.0;
            double interestRate = 0.2;

            double alpha = 0.1;
            double beta = 0.02;
            double nu = 0.1;
            double rho = 0.5;

            double actual = model.calculateHaganLogNormalApproxVol(strike, maturity, interestRate, alpha, beta, nu, rho);

            double expected = 0.23074062844366;
            //double expected = 1;
            Assert.AreEqual(expected, actual, tolerance);
        }