Vanilla IRS
Key Vanilla IRS in Vanilla Swaption refers to the option's underlying interest rate swap.
Expects an object of type Vanilla IRS.
Assuming Direction = Call, the option holder has the right to buy the swap defined here for a zero strike price.
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
Only the portion of the swap lying beyond the option's expiry is relevant.
The actual swap being entered upon exercising the option is displayed in _Entered IRS