Create a ZAR Bermudan swaption based a ZAR quarterly, fixed for float Jibar swap.
Description
Create a ZAR Bermudan swaption based a ZAR quarterly, fixed for float Jibar swap.
Example Sheet
BermudanSwaption.xlsx
Arguments
- objectName The name that this object will be assigned on the map. Should be unique.
- exerciseDates (Date[])The exercise dates. The dates on which the person who is long optionality can exercise.
- longOptionality (Boolean)if set to TRUE then the person valuing this product owns the optionality.
- startDate (Date)First reset date of the underlying swap.
- tenor (Tenor)Tenor of underlying swap, must be a whole number of years. Example ‘5Y’.
- rate (Double)The fixed rate paid or received on the underlying swap.
- payFixed (Boolean)Is the fixed rate paid? Enter ‘TRUE’ for yes.
- notional (Double)Flat notional for all dates.
- jibar *(FloatRateIndex)Flat notional for all dates.(Default value = DEFAULT)