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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.
Fixed Cash Flows
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.
Fixed Extra Cash Flows
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.
Float Cash Flows
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 #IndexFixingPerState reports all possible index fixings that should be observed at the first exercise date according to the adopted model of short rate evolution.
More information on this output is available in the function
Gaussian 1d Model::Calc Quantities that produces a similar output.
Float Extra Cash Flows
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.
Price
The output refers to the price of the referenced tradable contract.