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Hi all,
I would like to price an amortising (i.e. non-constant notional) bermudan swaption using the QuanlibXL addin. The Quantlib XL distribution contains an example bermudan swaption calculator that works for standard (constant notional) bermudans. The calculator creates a swap, then feeds this into qlSwaption, and finally to the qlTreeSwaptionEngine. I have modified this calculator by building an amortising swap instead of a constant notional swap. Unfortunately when I try to feed this into qlSwaption, I get error
qlSwaption - Error retrieving object with id 'amowap#0001' - unable to convert reference to type 'class QuantLibAddin::VanillaSwap' found instead 'class QuantLibAddin::Swap'
I could not find an alternative to qlSwaption that might handle amortising swaps. I assume this means that amortising swaptions currently cant be priced using QuantLibXL, but just wanted to make sure I am not missing something.
Thanks,
Tom
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