All float coupons with fixing date greater or
equal the respective option expiry are considered
part of the exercise into right. Note that this
is different from the usual accrual start date
greater or equal exercise date if the fixing lag
is strictly greater than the exercise lag (which
should be a rare case). For the redepmtion flows
the criterion is that the associated start date
of the redemption flow (i.e. the start date of
the regular coupon period with same payment date
as the redemption flow) is greater or equal the
exercise date.
The addtional result underlyingValue is the npv
of the underlying (as seen from "today") including
all fixings greater (or greater equal depending
on includeTodaysExercise) today.
One factor model float float swaption engine
All float coupons with fixing date greater or equal the respective option expiry are considered part of the exercise into right. Note that this is different from the usual accrual start date greater or equal exercise date if the fixing lag is strictly greater than the exercise lag (which should be a rare case). For the redepmtion flows the criterion is that the associated start date of the redemption flow (i.e. the start date of the regular coupon period with same payment date as the redemption flow) is greater or equal the exercise date.
The addtional result underlyingValue is the npv of the underlying (as seen from "today") including all fixings greater (or greater equal depending on includeTodaysExercise) today.