MC Pricing Engine for Swaptions

[John Mauceri]

Do any of the MC Pricing Engines work for Swaptions?

An example would be great.

Thanks.

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[Mauceri, John]

Can someone give me an brief overview of calling a MC engine for a Swaption instrument?

 

 

Thanks,

Newbie

[Luigi Ballabio-2]

On 2004.04.02 22:23, John Mauceri wrote:
> Do any of the MC Pricing Engines work for Swaptions?

John,
        I apologise for the delay---I've been a bit busy of late...

Unfortunately there's no MC engine currently available for swaptions.  
Available engines include a couple of analytic ones (Black, Jamshidian)  
and one working over trees from short-rate models. They can be found in  
the ql/PricingEngines/Swaption directory. I don't know whether they  
will be of any help for your particular problem, though---what are the  
variables you are trying to model?

Later,
        Luigi