Vanilla Swaption


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