ATM Rate

Function ATM Rate within Vanilla Swaptionreturns the swaption's at-the-money rate with respect to the underlying swap starting at the first exercise date.
It is defined as the rate that the referenced swap needs to have at its fixed rate leg in order to have a net present value of zero.
This function takes two yield curves as input: One for forecasting the swap's floating rates and one for discounting all cash flows back to the present.