Code

Key Code of function Shift in FxdFlt Swaptionrefers to a text token that specifies the corresponding produced swaption in terms of two periods.
This entry may also hold a 1D-array of n text tokens, which would then lead to the generation of n corresponding swaptions.
It must have the format PERIOD₁PERIOD₂, where PERIOD₁, PERIOD₂ are text tokens representing time intervals optionally including conventions, each of which must be formatted as described in Single Period.
For example, 6m3y or 6m{US}3y{US} or 6m{US|MF}3y{US|F}.
Blanks and case ignored.

If any of the two periods carries no conventions, then the conventions of the caller swaption will be assumed

For example, the text 6m3y implies a swaption that expires at T'₀ = 6 months after the start date T₀ of the caller's underlying swap defined in Underl Swap and references a new underlying swap that ends at T' = 3 years after the expiry date T'₀, with the exact dates following the conventions of the caller swaption.

But the text 6m{DE}3y{GB|MF} implies a swaption that expires at T'₀ = 6 months after T₀ according to the German calendar and the (default) F date bump convention and references an underlying swap that ends at T' = 3 years after its start date T'₀, according to the UK calendar and the MF date bump convention.

Exceptionally, if a non trivial settlement period is defined in Start Settle, the expiry date T'₀ will not be affected, but the start date of the underlying swap will be shifted by that period.