Possible Swaption Code Bug

Posted by Etuka Onono on Nov 13, 2015; 4:41pm
URL: http://quantlib.414.s1.nabble.com/Possible-Swaption-Code-Bug-tp17075.html

Hello.

I think there is a bug in the implementation of Bermudan Swaption pricers that depend on the class DiscretizedSwaption.  If you have a 5 year swap, resetting in each of its 5 years, then the bermudan swaption should allow you to decide whether to enter a 5, 4, 3, 2 or 1 year swap terminating in the 5th year.  It looks to me more like, in the current implementation, a holder accrues the value of the whole swap in the tree, whenever the swaption is exercised.

Grateful for feedback or confirmation.  Let me know if there is anything I can do to help follow up.

Regards,
Etuka
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