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 of the object to be created.
- exerciseDates The exercise dates. The dates on which the person who is long optionality can exercise.(Date)
- longOptionality if set to TRUE then the person valuing this product owns the optionality.(Boolean)
- startDate First reset date of the underlying swap.(Date)
- tenor Tenor of underlying swap, must be a whole number of years. Example ‘5Y’.(Tenor)
- rate The fixed rate paid or received on the underlying swap.
- payFixed Is the fixed rate paid? Enter ‘TRUE’ for yes.(Boolean)
- notional Flat notional for all dates.