FxdFlt Swaption


FxdFlt Swaption is a direct subtype of Option
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with functions FxdFlt Swaption Functions, direct subtypes FxdFlt Swaption subtypes, keys FxdFlt Swaption keys and example object FxdFltSwpton

TYPE INCLUSION RELATIONSHIPS

Option

FxdFlt Swaption

Vanilla 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 FxdFlt Swaption

FxdFltSwpton

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This type represents a zero striked Option where the underlying contract is a FxdIbor IRS.
Stated differently, the holder of a call FxdFlt 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 FxdFlt Swaption contract.

Apart from the attributes associated with it being an Option, a FxdFlt Swaption may exhibit the following additional attributes:
Settlement Type

The pricing methodology is specified in Model[FxdFlt Swaption]