/// <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);
}
