Model[Float_Float_Swaption]

"Model[Float Float Swaption]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Float Float Swaption.The pricing succeeds by any of 1 different methods listed in Model[Float Float Swaption]::Pricing Method

The following quantities may be also calculated and reported along the price.

Set containing detailed information about the first leg cash flows of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

In particular, the column labelled

More information on this output is available in the function Gaussian 1d Model::Calc Quantities that produces a similar output.

Set containing detailed information about the second leg cash flows of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

In particular, the column labelled

More information on this output is available in the function Gaussian 1d Model::Calc Quantities that produces a similar output.

Set containing detailed information about the first leg non-accrual principal payments of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

Set containing detailed information about the second leg non-accrual principal payments of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

The output refers to the price of the referenced tradable contract.

Additional data returned by QuantLib.