with the notable exception of the Markov functional swaption engine
which uses numerical integration :-) ... and now also supports multicurve
pricing (by means of static adjustments). However I did not manage to
submit this update to the official repository yet. I'll try in the next
days. This also includes an abstraction to a gaussian1d model which
specializes to both the Markov and the Hull White model, so both models
are available in this context. I did not do a systematic validation but
single results are already close to Murex where a similar multicurve
correction is implemented.
Peter
Luigi Ballabio <
[hidden email]> writes:
> As far as I know, it's not possible at this time. The available
> engines for Bermudan swaptions all work on trees, which don't separate
> forwarding and discounting.
>
>
> Luigi
>
> On Sat, Sep 21, 2013 at 4:35 PM, Alexander Belyakov <
[hidden email]> wrote:
>> how to price bermudan swaption with different discounting and forwarding
>> curves in quantlib?
>>
>>
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