Posted by
Peter Caspers-4 on
Jan 23, 2017; 5:41pm
URL: http://quantlib.414.s1.nabble.com/Accreting-Bermudan-Swaption-tp17987p17989.html
Hi Stefan,
you can look at Gaussian1dNonstandardSwaptionEngine which can be used
for pricing Bermudan swaptions in the GSR (= HullWhite) and
MarkovFunctional models. There is also an example program under
Examples/Gaussian1dModels. Finally these notes
https://ssrn.com/abstract=2320759may be of interest for you, in particular sections 2.1 and 2.2.
Best Regards
Peter
On 23 January 2017 at 16:15, mueller stefan <
[hidden email]> wrote:
> Hello guys,
>
> I am relatively new to quantlib. Until now i mostly used MATLab for
> derivatives pricing. Sometimes self developed, sometimes i used scripts from
> books or communities like quantcode.
>
> Right now i want to do some pricing for a seminar paper at my university. I
> thought it would be cool to price an bermudan swaption with accreting
> feature (our prof mentioned this feature). So is the quantlib library
> capable of handling an accreting bermundan swaption or is it useless to
> start digging into quantlib for that cause?
>
> Thank you in advance for you advice.
>
> Kind regards
> stefan
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Accreting-Bermudan-Swaption-tp17987.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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