Go to Deriscope's documentation start pageVanilla_IRS
Vanilla IRS is a child type of FxdIbor Swap that represents a plain vanilla interest rate swap, whereby a fixed interest rate is exchanged for ibor rate in regular time intervals until the swap's maturity.
It may be regarded as a special case of FxdIbor Swap with flat rates and notionals and all gearings set to 1.
It corresponds to the QuantLib type VanillaSwap.
The pricing methodology is specified in Model[IRS]
The following functions are also available within Vanilla IRS:
Vanilla IRS Functions