Bugs item #1697468, was opened at 2007-04-10 10:19
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: goncha (victor_gonzalez)
Assigned to: Nobody/Anonymous (nobody)
Summary: QuantLib Add-In BermidanSwaptionCalculation
Initial Comment:
Using the Add-In I am able to price a European Swaption however I can not price a Bermudan nor an American Swaption.
I am using the following functions:
1) qlBermudanExercise
2) qlSwaption (I created a swap first using qlVanillaSwap)
3) qlInstrumentNPV
Please see output on attached word document
Many Thanks
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