QL_Multi_Step_Swaption

The disclaimer described in QL MM Data applies also here.

It is a special type of QL MP Multi Step that describes a single interest rate european swaption with cash settlement and a generalized notion of payoff described as follows:

At swaption expiry, rather than entering into an interest rate swap with the preagreed fixed rate (strike), an immediate cash settlement is assumed, whereby the following amount is received by the swaption holder:

Furthermore

It turns out, for an

Nevertheless other types of more complicated payoffs are also supported.