Vanilla IRS


Vanilla IRS is a direct subtype of FxdIbor IRS
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with functions Vanilla IRS Functions, keys Vanilla IRS keys and example object VanIRS

TYPE INCLUSION RELATIONSHIPS

FxdIbor IRS

Vanilla IRS

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

ATM Shift

Indexed Coupon

Notional

Spread

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TYPICAL OBJECTS OF TYPE Vanilla IRS

VanIRS

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This type represents a plain vanilla interest rate swap, whereby a fixed interest rate is exchanged for ibor rate in regular time intervals until the swap's maturity.

Web blog examples here and here
It may be regarded as a special case of FxdIbor IRS with flat rates and notionals and all gearings set to 1.
It corresponds to the QuantLib type VanillaSwap.

The pricing methodology is specified in Model[IRS]