public static FRA CreateZARFRA([ExcelArgument(Description = "The trade date of the FRA. The near and far dates will be calculated from this.")] Date tradeDate,
[ExcelArgument(Description = "The notional of the FRA in rands.")] double notional,
[ExcelArgument(Description = "The fixed rate paid or received.")] double rate,
[ExcelArgument(Description = "The fra code, eg '3x6'.")] string fraCode,
[ExcelArgument(Description = "Is the fixed rate paid? Enter 'TRUE' for yes.")] bool payFixed)
{
Calendar zaCalendar = StaticData.GetCalendar("ZA");
return(FRA.CreateZARFra(tradeDate, notional, rate, fraCode, payFixed, zaCalendar));
}
public static FRA CreateZARFRA([ExcelArgument(Description =
"The trade date of the FRA. The near and far dates will be calculated from this.")]
Date tradeDate,
[ExcelArgument(Description = "The notional of the FRA in rands.")]
double notional,
[ExcelArgument(Description = "The fixed rate paid or received.")]
double rate,
[ExcelArgument(Description = "The FRA code, e.g. '3x6'.")]
string fraCode,
[ExcelArgument(Description = "Is the fixed rate paid? Enter 'TRUE' for yes.")]
bool payFixed,
[QuantSAExcelArgument(Description = "The float rate index of the FRA.", Default = "ZAR.JIBAR.3M")]
FloatRateIndex jibar)
{
// TODO: JT: Get a preferred calendar from the float rate index
return(FRA.CreateZARFra(tradeDate, notional, rate, fraCode, payFixed, new Calendar("ZA"), jibar));
}
public void FRA_Clone()
{
var jibar = TestHelpers.Jibar3M;
var zar = TestHelpers.ZAR;
var fra = new FRA(1e6, 0.25, 0.07, true, new Date("2020-09-14"), new Date("2020-12-14"), jibar);
var clone = fra.Clone();
Assert.IsNotNull(clone);
var indices = clone.GetRequiredIndices();
Assert.AreEqual(jibar, indices[0]);
Assert.That(indices, Has.Count.EqualTo(1));
var cfCurrencies = clone.GetCashflowCurrencies();
Assert.AreEqual(zar, cfCurrencies[0]);
Assert.That(cfCurrencies, Has.Count.EqualTo(1));
}
// fra
void InitFra(FRA fra, TradeInfo tinfo)
{
var sinfo = tinfo.Otc as SwapInfo;
if (sinfo == null) return;
fra.IsPay = tinfo.TradeAction.Equals("B") ? true : false;
fra.FixedRate = tinfo.Price / 100;
fra.Notional = Math.Abs(tinfo.Nominal1);
fra.StartDate = sinfo.SwapStartDate1;
fra.EndDate = sinfo.SwapMaturity1;
}
