FltFlt Swaption


FltFlt Swaption is a direct subtype of Option
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with functions FltFlt Swaption Functions, keys FltFlt Swaption keys and example object FltFltSwpton

TYPE INCLUSION RELATIONSHIPS

Option

FltFlt Swaption

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AVAILABLE FUNCTIONS

Create

Shift

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AVAILABLE CREATE FUNCTION KEYS

Direction

Ex Dates Count

Ex Dates Start

Ex On Swap Dates

Fwd Counting

Settlement Method

Settlement Type

Swap Settle

Underl Swap

Entered IRS

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TYPICAL OBJECTS OF TYPE FltFlt Swaption

FltFltSwpton

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This type represents a zero striked Option where the underlying contract is a IRS.
Stated differently, the holder of a call FltFlt Swaption has the right to enter with a long position into a predefined interest rate swap at one of the exercise dates allowed in the FltFlt Swaption contract.

The pricing methodology is specified in Model[FltFlt Swaption]