Module swaption 

Bond total-return-swap templates: float- and fixed-funding variants. Swaption templates — the swaption group.

A swaption template carries conventions only: which swap the option is written on, and whether it is a payer or a receiver. Its underlying conventions are composed from the irs group rather than restated, so calendars, day counts and frequencies keep one definition per market.

There is no expiry here. A swaption is quoted "1y5y" — one year into a five-year swap — and that spelling is a ForwardTenor, parsed once as <forward-start><tenor> for every builder that takes it. The forward start is the option expiry and the underlying’s effective date, so an expiry field would be a second copy of one quantity, and would make this registry combinatorial (markets × expiries).

Both underlying families are represented: the OIS markets (the post-LIBOR reality — SOFR, ESTR, SONIA) and the surviving IBOR markets.

Statics

SWAPTIONS

The registered swaption templates.

Functions

eur_estr

EUR €STR swaption.

eur_euribor_6m

EUR EURIBOR-6M swaption — the surviving IBOR swaption market.

gbp_sonia

GBP SONIA swaption.

ibor_payer 🔒

A payer swaption on a vanilla IBOR underlying.

ois_payer 🔒

A payer swaption on an OIS underlying, named for the registry code.

usd_sofr

USD SOFR swaption — an option on the USD OIS market.