public:RE: [Quantlib-users] Bermudan swaption
Hi Henry,
I am not sure if I get the question. In the current implementation, the instrument Swaption has the possibility to receive one or more exercise dates, and has a SimpleSwap as underlying.
This means that the "swaption maturity", or swaption exercise date(s), are ready to be "parametrized", i.e. you can allow users to specify its value.
The swap maturity, instead, has some limitations due to the fact that the underlying swap is a "SimpleSwap", i.e. you can only work with a regular period (i.e. you can define the swap starting date and a given number of years, but you can not force a particular maturity date, or you can not handle a swap with particular caracteristics such as step-up coupons).
It would be optimal if somebody could work on some extensions of this implementation (adding a class named "ExoticSwap", to give you an idea) with more general features.
ciao
Francesco
-----Original Message-----
From: Henri de Maupas [[hidden email]]
Sent: Tuesday, April 29, 2003 10:53 AM
To: [hidden email]
Subject: [Quantlib-users] Bermudan swaption
I would like to know in BermudanSwaption.cpp example
where i can parametrate maturity of the swaption and
maturity of the underlying swap.
Thx for helping me.
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