Go to Deriscope's documentation start page

Model[Vanilla_Swaption]

"Model[Vanilla Swaption]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Vanilla Swaption.
The pricing succeeds by any of 13 different methods listed in
Model[Vanilla Swaption]::Pricing Method

The volatility input, apart from flat, may also be
Vol Curve::Vol Input::Swaption Surface or Vol Curve::Vol Input::Swaption Cube
If the "correct" volatility input is not known, the functions
Tradable::Implied Vol and Vol Curve::Create Implied Vol Table allows the calculation of the volatility implied by any given set of swaption prices.
The first function returns the flat vol implied by a single market swaption price.
The second function returns either a volatility surface or a volatility cube expressed respectively as a 2-dimensional expiry/swap tenor table or a 3-dimensional expiry/swap tenor/strike table implied by a set of arbitrary market swaption prices.
This may in turn be used as input to the pricing of any other swaption that lacks a market price. Note the involved market swaptions must be europeans.

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.
annuity
Additional data returned by QuantLib.
atmForward
Additional data returned by QuantLib.
spreadCorrection
Additional data returned by QuantLib.
stdDev
Additional data returned by QuantLib.
strike
Additional data returned by QuantLib.
swapLength
Additional data returned by QuantLib.
vega
Additional data returned by QuantLib.