SwaptionAdjustedDates

A type describing the adjusted dates associated with swaption exercise and settlement.

Nested view
Tree view

Field	Type	Description	Print form title	FFSM title	Properties	Conditions
exerciseEvent	ExerciseEvent	The adjusted dates associated with an individual swaption exercise date.	Dates adjustment on swaption exercise.		0-∞, mre

Collapse All | Expand All

SwaptionAdjustedDates

exerciseEvent(ExerciseEvent)

	The adjusted dates associated with an individual swaption exercise date.

adjustedExerciseDate(date)

	The date on which option exercise takes place. This date should already be adjusted for any applicable business day convention.
	Exercise period or call, put or cancellation date.

adjustedRelevantSwapEffectiveDate(date)

The effective date of the underlying swap associated with a given exercise date. This date should already be adjusted for any applicable business day convention.

adjustedCashSettlementValuationDate(date)

The date by which the cash settlement amount must be agreed. This date should already be adjusted for any applicable business day convention.

adjustedCashSettlementPaymentDate(date)

The date on which the cash settlement amount is paid. This date should already be adjusted for any applicable business dat convention.

adjustedExerciseFeePaymentDate(date)

The date on which the exercise fee amount is paid. This date should already be adjusted for any applicable business day convention.