Examples of SABRPaulotVolatilityFunction

    final SABRInterestRateParameters sabrParameterJohnson = TestsDataSetsSABR.createSABR1(new SABRJohnsonVolatilityFunction());
    final SABRInterestRateDataBundle sabrJohnsonBundle = new SABRInterestRateDataBundle(sabrParameterJohnson, curves);
    final double priceJohnson = SWAPTION_LONG_PAYER.accept(PVC, sabrJohnsonBundle);
    assertEquals(priceHagan, priceJohnson, 1E+3);
    // SABR Paulot volatility function ! Does not work well !
    final SABRInterestRateParameters sabrParameterPaulot = TestsDataSetsSABR.createSABR1(new SABRPaulotVolatilityFunction());
    final SABRInterestRateDataBundle sabrPaulotBundle = new SABRInterestRateDataBundle(sabrParameterPaulot, curves);
    final double pricePaulot = SWAPTION_LONG_PAYER.accept(PVC, sabrPaulotBundle);
    assertEquals(priceHagan, pricePaulot, 1E+4);


  }

Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRPaulotVolatilityFunction

    // SABR Berestycki volatility function
    final SABRInterestRateParameters sabrParameterBerestycki = TestsDataSetsSABR.createSABR1(new SABRBerestyckiVolatilityFunction());
    final SABRInterestRateDataBundle sabrBerestyckiBundle = new SABRInterestRateDataBundle(sabrParameterBerestycki, curves);
    final double priceBerestycki = CMS_COUPON_RECEIVER.accept(PVC, sabrBerestyckiBundle);
    assertEquals(priceHagan, priceBerestycki, 5);
    final SABRInterestRateParameters sabrParameterPaulot = TestsDataSetsSABR.createSABR1(new SABRPaulotVolatilityFunction());
    final SABRInterestRateDataBundle sabrPaulotBundle = new SABRInterestRateDataBundle(sabrParameterPaulot, curves);
    final double pricePaulot = CMS_COUPON_RECEIVER.accept(PVC, sabrPaulotBundle);
    assertEquals(priceHagan, pricePaulot, 15);
  }

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