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Model[Float_Float_Swaption]

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

The following quantities may be also calculated and reported along the price.
Cash Flows 1
Set containing detailed information about the first 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.
Cash Flows 2
Set containing detailed information about the second 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.
Extra Cash Flows 1
Set containing detailed information about the first 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.
Extra Cash Flows 2
Set containing detailed information about the second 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.
underlyingValue
Additional data returned by QuantLib.