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)); }