Accreting Bermudan Swaption

[mueller stefan]

Hello guys,

I am relatively new to quantlib. Until now i mostly used MATLab for derivatives pricing. Sometimes self developed, sometimes i used scripts from books or communities like quantcode.

Right now i want to do some pricing for a seminar paper at my university. I thought it would be cool to price an bermudan swaption with accreting feature (our prof mentioned this feature). So is the quantlib library capable of handling an accreting bermundan swaption or is it useless to start digging into quantlib for that cause?

Thank you in advance for you advice.

Kind regards
stefan

[Peter Caspers-4]

Hi Stefan,

you can look at Gaussian1dNonstandardSwaptionEngine which can be used
for pricing Bermudan swaptions in the GSR (= HullWhite) and
MarkovFunctional models. There is also an example program under
Examples/Gaussian1dModels. Finally these notes

https://ssrn.com/abstract=2320759

may be of interest for you, in particular sections 2.1 and 2.2.

Best Regards
Peter


On 23 January 2017 at 16:15, mueller stefan <[hidden email]> wrote:

> Hello guys,
>
> I am relatively new to quantlib. Until now i mostly used MATLab for
> derivatives pricing. Sometimes self developed, sometimes i used scripts from
> books or communities like quantcode.
>
> Right now i want to do some pricing for a seminar paper at my university. I
> thought it would be cool to price an bermudan swaption with accreting
> feature (our prof mentioned this feature). So is the quantlib library
> capable of handling an accreting bermundan swaption or is it useless to
> start digging into quantlib for that cause?
>
> Thank you in advance for you advice.
>
> Kind regards
> stefan
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Accreting-Bermudan-Swaption-tp17987.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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