Bermudan Bond Options
Posted by Perissin Francesco on Jun 13, 2002; 9:16am
URL: http://quantlib.414.s1.nabble.com/Bermudan-Bond-Options-tp2080.html
Hallo to everybody
I need to define a bermudan swaption having a bond as underlying. The main
difference between this opt and the classical bermudan (like the one defined
in the BermudanSwaption example)is the following: the bond has a quote type
in percentage of the nominal. So, the strike in terms of coupon is useless,
and one should use a strike like 100 if the bond can be called at par.
In more general implementations the bond could have different coupons on the
different periods, or maybe even floating or digital coupons.
Isn't it? Is there anything in QL that can help me?
THanks
Francesco
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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