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Hi Everybody,
*I am a new comer in your community. I tried the example Bermudan Swaption,
with recent market instruments, and found underpriced options or really
overpriced premiums.
*I noticed also that in the money payer-bermudan-swaption are far lower from
out-of-th-money receiver swaptions, which stuck me. Did I make a classical
mistake? Maybe, taking receiver in place of payer... To specify the sense payer
or receiver is defined by the characterics of the underlying swap, so I wonder
where that kind of error might be.
*Moreover, in the payer sense, premiums are really close to european swaption
premium, and this independantly of how many decision dates are provided.
Furthermore, receiver options are too far from europen premiums.
If the bermudan swaption framework works fine or have a tricky aspects
(calibration..), please tell me. I'm ready for an aggiornomento and dive into
my bugs.
Thank You for You Help,
Alexandre.
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