ATM Spread

Function ATM Spread within Vanilla Swaptionreturns the spread that the floating leg of the underlying swap starting at the first exercise date should have in order to have a net present value of zero.
It follows that it equals the difference r - atm where r is the contractual fixed leg rate and atm is the at-the-money rate.
The latter 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.