public static object _CreateZARBermudanSwaption(string objectName,
object[,] exerciseDates,
object[,] longOptionality,
object[,] startDate,
object[,] tenor,
object[,] rate,
object[,] payFixed,
object[,] notional)
{
try
{
Date[] _exerciseDates = XU.GetDate1D(exerciseDates, "exerciseDates");
Boolean _longOptionality = XU.GetBoolean0D(longOptionality, "longOptionality");
Date _startDate = XU.GetDate0D(startDate, "startDate");
Tenor _tenor = XU.GetTenor0D(tenor, "tenor");
Double _rate = XU.GetDouble0D(rate, "rate");
Boolean _payFixed = XU.GetBoolean0D(payFixed, "payFixed");
Double _notional = XU.GetDouble0D(notional, "notional");
BermudanSwaption _result = XLRates.CreateZARBermudanSwaption(_exerciseDates, _longOptionality, _startDate, _tenor, _rate, _payFixed, _notional);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public void TestBermudanSwaptionPV()
{
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
BermudanSwaption bermudan;
bermudan = new BermudanSwaption(swapPay, exDates.GetRange(0, 1), true);
var value1 = coordinator.Value(new Product[] { bermudan }, valueDate);
bermudan = new BermudanSwaption(swapPay, exDates.GetRange(0, 2), true);
var value2 = coordinator.Value(new Product[] { bermudan }, valueDate);
bermudan = new BermudanSwaption(swapPay, exDates.GetRange(0, 3), true);
var value3 = coordinator.Value(new Product[] { bermudan }, valueDate);
Assert.IsTrue(value1 < value2, "Bermudan with 1 exercise date must be worth less than one with 2.");
Assert.IsTrue(value2 < value3, "Bermudan with 2 exercise dates must be worth less than one with 3.");
/*
* Date endDate = valueDate.AddTenor(tenor);
* List<Date> fwdValueDates = new List<Date>();
* while (date < endDate)
* {
* fwdValueDates.Add(date);
* date = date.AddTenor(Tenor.Days(10));
* }
* double[] epe = coordinator.EPE(new Product[] { swap }, valueDate, fwdValueDates.ToArray());
*/
}
/// <summary>
/// Creates Bermudan swaption with a simple ZAR swap as underlying, the ZAR swap is the same as that created by:
/// <see cref="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 valuing 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>
/// <param name="floatRateIndex"></param>
/// <returns></returns>
public static BermudanSwaption CreateZARBermudanSwaption(Date[] exerciseDates, bool longOptionality,
double rate,
bool payFixed, double notional, Date startDate, Tenor tenor, FloatRateIndex floatRateIndex)
{
var swap = CreateZARSwap(rate, payFixed, notional, startDate, tenor, floatRateIndex);
var swaption = new BermudanSwaption(swap, exerciseDates.ToList(), longOptionality);
return(swaption);
}
public static BermudanSwaption CreateZARBermudanSwaption([ExcelArgument(Description = "The exercise dates. The dates on which the person who is long optionality can exercise.")] Date[] exerciseDates,
[ExcelArgument(Description = "if set to TRUE then the person valuing this product owns the optionality.")] bool longOptionality,
[ExcelArgument(Description = "First reset date of the underlying swap.")] Date startDate,
[ExcelArgument(Description = "Tenor of underlying swap, must be a whole number of years. Example '5Y'.")] Tenor tenor,
[ExcelArgument(Description = "The fixed rate paid or received on the underlying swap.")] double rate,
[ExcelArgument(Description = "Is the fixed rate paid? Enter 'TRUE' for yes.")] bool payFixed,
[ExcelArgument(Description = "Flat notional for all dates.")] double notional)
{
return(BermudanSwaption.CreateZARBermudanSwaption(exerciseDates, longOptionality, rate, payFixed, notional, startDate, tenor));
}
public void TestBermudanSwaptionPVLongAndShort()
{
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
var bermudan1 = new BermudanSwaption(swapPay, exDates.GetRange(0, 1), true);
var value1 = coordinator.Value(new Product[] { bermudan1 }, valueDate);
var bermudan2 = new BermudanSwaption(swapRec, exDates.GetRange(0, 1), false);
var value2 = coordinator.Value(new Product[] { bermudan2 }, valueDate);
var value3 = coordinator.Value(new Product[] { bermudan1, bermudan2 }, valueDate);
//Assert.IsTrue(value1 < value2, "Bermudan with 1 exercise date must be worth less than one with 2.");
// Assert.IsTrue(value2 < value3, "Bermudan with 2 exercise dates must be worth less than one with 3.");
}
public void TestPhysicalSwaptionEPE()
{
Coordinator coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
List <Date> exDate = new List <Date> {
new Date(2018, 9, 17)
};
// Couterparty has option to enter into a receive fixed swap
BermudanSwaption physicalSwaption = new BermudanSwaption(swapPay, exDate, false);
Date date = valueDate;
Date endDate = valueDate.AddTenor(new Tenor(0, 0, 3, 5));
List <Date> fwdValueDates = new List <Date>();
while (date <= endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.Days(10));
}
double[] epe = coordinator.EPE(new Product[] { physicalSwaption }, valueDate, fwdValueDates.ToArray());
//Debug.WriteToFile(@"c:\dev\temp\ene_physicalswaption_HW.csv", epe);
}