Bermudan Bond Options

[Perissin Francesco]

Hallo to everybody

I need to define a bermudan swaption having a bond as underlying. The main
difference between this opt and the classical bermudan (like the one defined
in the BermudanSwaption example)is the following: the bond has a quote type
in percentage of the nominal. So, the strike in terms of coupon is useless,
and one should use a strike like 100 if the bond can be called at par.
In more general implementations the bond could have different coupons on the
different periods, or maybe even floating or digital coupons.
Isn't it? Is there anything in QL that can help me?

THanks
Francesco




     Francesco Perissin
          Derivatives Team
     Banca del Gottardo
          Via R. Simen 14
    6900 Lugano (Switzerland)
  Direct line: [phone]
           Fax: [phone]



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[Ferdinando M. Ametrano-2]

At 05:14 PM 6/13/2002 +0200, Perissin Francesco wrote:
>I need to define a bermudan swaption having a bond as underlying. The main
>difference between this opt and the classical bermudan (like the one defined
>in the BermudanSwaption example)is the following: the bond has a quote type
>in percentage of the nominal. So, the strike in terms of coupon is useless,
>and one should use a strike like 100 if the bond can be called at par.
>In more general implementations the bond could have different coupons on the
>different periods, or maybe even floating or digital coupons.
>Isn't it? Is there anything in QL that can help me?
Sorry, in QuantLib there is not a callable bond class, mainly because there
is not a bond class at all (even if a std::vector<CashFlow> could be used
as bond skeleton)

You will have to go the swaption way, where the underlying swap has a fixed
leg given by the bond coupons, and a floating leg taking into account all
the other details as redemption price, re-financing cost, etc.

hope this helps

ciao -- Nando