Re: possible error in pricing bermudan swaptions

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/possible-error-in-pricing-bermudan-swaptions-tp3435p3436.html

On 2004.12.16 09:28, Luca Berardi wrote:
>
> I guess there is an error in the class BermudanExercise. In the
> constructor code, the following line:
> type_ = American
> should be substituted by the line:
> type_ = Bermudan

Luca,
        you're right. The above is fixed in 0.3.8 (to be released in a few  
days, I hope.)

Thanks,
        Luigi