%% Create Two European Swaption Instruments with Receiving and Paying Legs
% This example shows how to create two European swaption instruments with receiving and paying legs using the following data.

OptSpec = {'Call'; 'Put'};
Strike = .05;
ExerciseDates = 'jan-1-2011';
Spread=0;
Settle = 'jan-1-2007';
Maturity = 'jan-1-2012';
AmericanOpt = 0;
SwapReset = [2 4]; % 1st column represents receiving leg, 2nd column represents paying leg
Basis = [1 3];     % 1st column represents receiving leg, 2nd column represents paying leg

InstSet = instswaption(OptSpec,Strike,ExerciseDates,AmericanOpt,Spread,Settle,Maturity, ...
SwapReset,Basis);

%
% View the European swaption instruments using instdisp.

instdisp(InstSet)

% Copyright 2012 The MathWorks, Inc.