Hi all,
I recently upgraded to QuantLib 0.3.8 from 0.3.7.
In my code I had some pricers based on lattice methods, and I had
to rewrite them since I noticed the QuantLib lattice framework
substantially changed .
I noticed not only the interface changed but also the implementation
of some DiscretizedAsset derived classes. In particular I refer to the
classes involved in the bermuda swaption pricing.
The problem is that the pricing of bermuda swaptions with the new
Quantlib release (0.3.8) is considerably different from the previous
release (0.3.7), all the pricing inputs being exactly the same.
I have tested the bermuda swaptions pricing in QL 0.3.7 with other
financial software and it seemed correct (actually, in the beginning
there was a problem with getting the right exercise type, but it had
been fixed by a subsequent patch).
Hence I reckon there is some pricing mismatch in the new release,
though at the moment I don't know what it could be. I went through the
code but still couldn't find any possible sources of errors.
Has the bermuda swaptions pricing engine been tested after the changes
in the new release? How could the pricing mismatch between the two
quantlib releases could be explained?
Thanks for help.
Luca.
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