private FloatingIndex(Currency currency, string name, Tenor tenor)
{
this.currency = currency;
this.name = name;
this.tenor = tenor;
toString = currency.ToString() + ":" + name.ToUpper() + ":" + tenor.ToString();
}
/// <summary>
/// Return a new date with the <paramref name="tenor"/> added to it.
/// </summary>
/// <param name="tenor">The amount of time to add to the date.</param>
/// <returns></returns>
public Date AddTenor(Tenor tenor)
{
DateTime newDate = date.AddYears(tenor.years);
newDate = newDate.AddMonths(tenor.months);
newDate = newDate.AddDays(tenor.weeks * 7 + tenor.days);
return(new Date(newDate));
}
public override bool Equals(object obj)
{
Tenor t = obj as Tenor;
if (t == null)
{
return(false);
}
return(this == t);
}
/// <summary>
/// Creates <paramref name="numberOfDates"/> that are <paramref name="periodTenor"/> apart. The first
/// date is <paramref name="startDate"/> plus <paramref name="periodTenor"/>.
/// <para/>
/// There is no holiday adjustment or stub period.
/// </summary>
/// <param name="periodTenor">The period tenor.</param>
/// <param name="startDate">The start date.</param>
/// <param name="numberOfDates">The number of dates.</param>
/// <returns></returns>
public static void CreateDatesNoHolidays(Tenor periodTenor, Date startDate, int numberOfDates,
out Date[] paymentDates, out double[] accrualFractions)
{
Date runningDate = new Date(startDate);
paymentDates = new Date[numberOfDates];
accrualFractions = new double[numberOfDates];
Date oldDate = new Date(startDate);
for (int i = 0; i < numberOfDates; i++)
{
runningDate = runningDate.AddTenor(periodTenor);
paymentDates[i] = runningDate;
accrualFractions[i] = (runningDate - oldDate) / 365.0;
oldDate = runningDate;
}
}
/// <summary>
/// Constructor for ZAR market standard, fixed for float 3m Jibar swap.
/// </summary>
/// <param name="rate">The fixed rate paid or received</param>
/// <param name="payFixed">Is the fixed rate paid?</param>
/// <param name="notional">Flat notional for all dates.</param>
/// <param name="startDate">First reset date of swap</param>
/// <param name="tenor">Tenor of swap, must be a whole number of years.</param>
/// <returns></returns>
public static IRSwap CreateZARSwap(double rate, bool payFixed, double notional, Date startDate, Tenor tenor)
{
IRSwap newSwap = new IRSwap();
int quarters = tenor.years * 4 + tenor.months / 3;
newSwap.payFixed = payFixed ? -1 : 1;
newSwap.indexDates = new Date[quarters];
newSwap.paymentDates = new Date[quarters];
newSwap.index = FloatingIndex.JIBAR3M;
newSwap.spreads = new double[quarters];;
newSwap.accrualFractions = new double[quarters];;
newSwap.notionals = new double[quarters];
newSwap.fixedRate = rate;
newSwap.ccy = Currency.ZAR;
newSwap.indexValues = new double[quarters];
Date date1 = new Date(startDate);
Date date2;
for (int i = 0; i < quarters; i++)
{
date2 = startDate.AddMonths(3 * (i + 1));
newSwap.indexDates[i] = new Date(date1);
newSwap.paymentDates[i] = new Date(date2);
newSwap.spreads[i] = 0.0;
newSwap.accrualFractions[i] = (date2 - date1) / 365.0;
newSwap.notionals[i] = notional;
date1 = new Date(date2);
}
return(newSwap);
}
/// <summary>
/// Creates Bermudan swaption with a simple ZAR swap as underlying, the ZAR swap is the same as that created by:
/// <see cref="IRSwap.CreateZARSwap"/>.
/// </summary>
/// <param name="exerciseDates">The exercise dates. The dates on which the person who is long optionality can exercise.</param>
/// <param name="longOptionality">if set to <c>true</c> then the person valuing this product owns the optionality.</param>
/// <param name="rate">The fixed rate on the underlying swap.</param>
/// <param name="payFixed">if set to <c>true</c> then the underlying swap has the person valuaing the product paying fixed after exercise.</param>
/// <param name="notional">The constant notional in ZAR on the underlying swap.</param>
/// <param name="startDate">The start date of the underlying swap.</param>
/// <param name="tenor">The tenor of the underlying swap.</param>
/// <returns></returns>
public static BermudanSwaption CreateZARBermudanSwaption(Date[] exerciseDates, bool longOptionality, double rate,
bool payFixed, double notional, Date startDate, Tenor tenor)
{
IRSwap swap = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, tenor);
BermudanSwaption swaption = new BermudanSwaption(swap, exerciseDates.ToList(), longOptionality);
return(swaption);
}
