Module swaption 

The swap wrappers: a swaption on its swap, a cancelableProvision cancelling one, and an earlyTerminationProvision ending one at market.

A wrapper is represented, never stripped: a swaption is a European or Bermudan swaption, a cancelable swap a callable swap. An early termination settled in cash at the swap’s market value, mandatory or at a party’s option, transfers no value on exercise, so the trade reads as the full swap. Exercise helixio does not value (American) is refused by name.

Functions

adjusted 🔒

The one adjusted date el states.

cash_method 🔒

The cash settlement method helixio values: par yield curve, unadjusted.

dates 🔒

The adjusted dates el states: an adjustableDate, adjustableDates, a relativeDate or relativeDates off another dated element, or its own unadjustedDate and dateAdjustments.

dates_of 🔒

Every adjusted date el states.

exercise_dates 🔒

The exercise dates an exercise element states, refusing American.

premiums 🔒

The premiums an option states, each as a dated amount on our side.

provisions 🔒

A swap read with its provisions: cancelable as a callable swap, early termination at market as the swap itself.

read 🔒

Reads a swaption: a European or Bermudan swaption on its swap, its premium as a fee, a straddle as a payer and a receiver.

referenced 🔒

The dates of the element carrying id: an exercise’s expiry, or the element’s own dates.

underlying 🔒

The swap as a swaption’s underlying, with its uniform fixed rate.

unsupported 🔒