Deriscope

The Excel Derivatives Periscope

Coverage

Vanilla_Swaption

Vanilla Swaption is a child type of Fixed Float Swaption that represents a zero striked Option where the underlying contract is a Vanilla IRS.
Stated differently, the holder of a call Vanilla Swaption has the right to enter with a long position into a predefined interest rate swap at one of the exercise dates allowed in the Vanilla Swaption contract.

Apart from the attributes associated with it being an
Option, a Vanilla Swaption may exhibit the following additional attributes:
Tradable::Settlement Type

The pricing methodology is specified in
Model[Vanilla Swaption]