Vanilla Swaption


Vanilla Swaption is a direct subtype of FxdFlt Swaption
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with functions Vanilla Swaption Functions, keys Vanilla Swaption keys and example object VanSwaption

TYPE INCLUSION RELATIONSHIPS

FxdFlt Swaption

Vanilla Swaption

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AVAILABLE FUNCTIONS

ATM Rate

ATM Spread

Create

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AVAILABLE CREATE FUNCTION KEYS

Vanilla IRS

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TYPICAL OBJECTS OF TYPE Vanilla Swaption

VanSwaption

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This type represents a zero striked Option where the underlying contract is a Vanilla IRS.

Web blog examples here and here
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:
Settlement Type

The pricing methodology is specified in Model[Vanilla Swaption]