Set Strike

Key Set Strike of function Shift in FxdFlt Swaptionrefers to an optional Boolean that controls whether the produced swaption can have a specified strike - i.e. a flat rate for its underlying swap - that may differ from that specified in the caller swaption.

The default is FALSE, whereby the produced swaption's underlying swap has the same rate as that of the caller swaption's underlying swap.
If set to TRUE, a flat rate for the produced swaption's underlying swap is specified through one of the additional optional keys Strike and ATM Shift