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Wonderful!!
I see that I'm not the only user of this part of the library.
I've started with the same example, and at first I had some problems,
exactly like yours, but after some time I solved all of them and found that
the pricing of swaptions (vanilla and bermudan) works fine.
Here there are some tips, that could help you:
1) start with vanilla swaptions, and see if the calibration is working well
(i.e. if the model price is quite close to Black price). Remember that payer
or receiver is, like in swaps, referring to the fixed leg. Also note that
the SwaptionHelper class implements only one of these sides, while the
Swaption class implements both.
2) pay attention to the vector of input swaption volatilities, sort them
correctly
3) try to obtain the same prices with the helpers and the swaption class
4) now you can consider the Bermudan feature
5) extend the swaption class in order to add the pricing of other structured
swaptions ;-))
Please keep me informed, because this could help both of us in order to work
faster and avoid errors, if necessary let's send the examples each other.
At the moment I am extending the library in order to add the pricing of
structured bermudan swaptions (i.e. with particularities in date schedules,
vector of fixed coupons ecc) and the pricing of the corresponding callable
bonds.
Regards
Francesco Perissin
Derivatives Team
Banca del Gottardo
Via R. Simen 14
6900 Lugano (Switzerland)
Direct line: +41 91 808 37 30
Fax: +41 91 808 24 43
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