calibrateBasket for NonstandardSwaption in python

Posted by Harvey Wu on Oct 25, 2015; 5:24am
URL: http://quantlib.414.s1.nabble.com/calibrateBasket-for-NonstandardSwaption-in-python-tp16960.html

Hi, all,

I am currently testing Bermudan swaption pricing using Gsr model using python swig binding. It seems NonstandardSwaption is not available in python. Any suggestion on how to do the calibration under python for the two modes (BasketGeneratingEngine::MaturityStrikeByDeltaGamma, and Native)?  Any pointer would be much appreciated.

Thanks!

Harvey

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