Underl Swap
Key Underl Swap in FxdFlt Swaption refers to the interest rate swap that is used to define the underlying interest rate swap into which the swaption holder enters upon exercising the option.
Expects an object of type FxdIbor IRS.
Assuming Direction = Call, at any given exercise date the option holder has the right to buy for a zero strike price the portion of the swap defined here that lies after the exercise date.
This means, the option holder has the right to enter into a swap receiving fixed and paying floating if the underlying swap is of REC type and vice versa if it is of PAY type.
This is reversed if Direction = Put
Note that only the portion of the swap lying beyond the option's earliest expiry is relevant.
The actual swap being entered upon exercising the option is displayed in _Entered IRS