public void SABRCalibrateModelTest()
{
Swaption target = Swaption.Instance();
target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
string actual = target.SABRCalibrateModel(_engineHandle, _settingsHandle, _volatilityData, _assetData, _optionExpiry);
string expected = _engineHandle;
Assert.AreEqual(expected, actual);
// Test the IsCalibrated status - true if the Function succeeded
// Use default expiry/tenor pair
bool testStatus = target.IsModelCalibrated(_engineHandle, _optionExpiry, _tenor);
Assert.AreEqual(true, testStatus);
// Test a non-existent expiry/tenor pair
testStatus = target.IsModelCalibrated(_engineHandle, "4yr", "3");
Assert.AreEqual(false, testStatus);
}
public void IsModelCalibratedTest()
{
Swaption target = Swaption.Instance();
target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
target.SABRCalibrateModel(_engineHandle, _settingsHandle, _volatilityData, _assetData, _optionExpiry);
bool actual = target.IsModelCalibrated(_engineHandle, _optionExpiry, _tenor);
Assert.AreEqual(true, actual);
}
public void SABRCalibrateATMModelTest()
{
Swaption target = Swaption.Instance();
string expected = _atmEngineHandle;
target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
string actual = target.SABRCalibrateATMModel(_atmEngineHandle, _settingsHandle, _nu, _rho, _atmVolatility, _assetPrice, _exerciseTime, _assetCode);
Assert.AreEqual(expected, actual);
// Test the IsCalibrated status - true if the Function succeeded
// Use default expiry/tenor pair
bool testStatus = target.IsModelCalibrated(_atmEngineHandle, _optionExpiry, _tenor);
Assert.AreEqual(true, testStatus);
}