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);
}
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);
}