The Excel Derivatives Periscope



Float Float Swaption is a child type of Option that represents a zero striked Option where the underlying contract is a FloatFloat IRS.
Stated differently, the holder of a call Float Float 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 Float Float Swaption contract.

The pricing methodology is specified in
Model[Float Float Swaption]