CIRProcess.TestBondCall.Test C# (CSharp) Method

        public void Test()
        {
            double k = 1.0;
            double theta = 0.02;
            double sigma = 0.08;
            double r0 = 0.01;
            Vector par = new Vector(3);
            par[0] = k;
            par[1] = theta;
            par[2] = sigma;

            double strike = 0.98;
            double noz = 100.0;

            double T = 1.0;
            double S = 2.0;

            double callFairmat = noz * CIRCap.BondCall(r0, 0.0, T, S, strike, par);
            double callBenchmark = 0.317304505282290;

            Console.WriteLine("CallFairmat   = " + callFairmat);
            Console.WriteLine("CallBenchmark = " + callBenchmark);

            double maxError = 1e-10;
            Assert.Less(Math.Abs(callFairmat - callBenchmark), maxError);
        }