Deriscope ## The Excel Derivatives Periscope

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QL_Multi_Step_Swaption

*QL Multi Step Swaption* is a Type that represents an object, the structure of which mimics the *MultiStepSwaption* type in QuantLib.

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:

*ƒ(r)A*, where *r* is the swap rate observed at that time for the underlying swap and *A* is the annuity of the fixed leg of that swap.

Furthermore *ƒ* is the function that transforms the rate *r* according to a supplied Payoff specification.

It turns out, for an *ƒ* corresponding to a Payoff::Payoff Type::Vanilla type, a regular vanilla swaption emerges.

Nevertheless other types of more complicated payoffs are also supported.