Model[Fixed_Float_Swaption]

"Model[Fixed Float Swaption]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Fixed Float Swaption.The pricing succeeds by any of 1 different methods listed in Model[Fixed Float Swaption]::Pricing Method

The following quantities may be also calculated and reported along the price.

Set containing detailed information about the fixed leg cash flows of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

Set containing detailed information about the fixed leg non-accrual principal payments of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

Set containing detailed information about the floating leg cash flows of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

In particular, the column labelled

More information on this output is available in the function Gaussian 1d Model::Calc Quantities that produces a similar output.

Set containing detailed information about the floating leg non-accrual principal payments of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

The output refers to the price of the referenced tradable contract.