Trying to get savon working with vcr, however it doesn't record the cassette file

savon_vcr.rb

VCR.config do |c|
  c.cassette_library_dir = 'fixtures/cassettes'
  c.stub_with :webmock
end

class VCRSavonTest < Test::Unit::TestCase
  def setup
    path = File.expand_path("../fixtures/cassettes", __FILE__)
    `rm -rf #{path}`
  end

  def assert_cassette_exists(cassette_name)
    file = "fixtures/cassettes/#{cassette_name}.yml"
    assert(File.exists?(file), "Cassette #{file} not found")
  end

  #THIS SUCCEEDS
  def test_it_works_with_basic_http_client
    VCR.use_cassette('test_httpclient_request', :record => :new_episodes) do
      client = HTTPClient.new
      response = client.get("http://flux88.com")
      assert_not_nil response
    end

    assert_cassette_exists('test_httpclient_request')
  end

  #THIS FAILS
  def test_it_should_write_a_cassette_with_savon
    VCR.use_cassette('savon_test_cassette', :record => :new_episodes) do
      client = Savon::Client.new do
        wsdl.document = 'http://www.webservicex.net/MortgageIndex.asmx?wsdl'
      end
      response = client.request :get_mortgage_index_monthly do |soap, wsdl, http|
        http.headers['SOAPAction'] = 'http://www.webserviceX.NET/GetCurrentMortgageIndexByWeekly'
      end
      assert_not_nil response
    end

    assert_cassette_exists('savon_test_cassette')
  end
end

if __FILE__ == $1
  #run from command line
  require 'test/unit/ui/console/testrunner'
  Test::Unit::UI::Console::TestRunner.run(VCRSavonTest)
end