Re: Possible problem on bermuda swaptions

Posted by Luigi Ballabio on Feb 23, 2005; 5:05am
URL: http://quantlib.414.s1.nabble.com/Possible-problem-on-bermuda-swaptions-tp3616p3618.html

On 02/23/05 12:38:37, Luca Berardi wrote:
>
> The problem is that the pricing of bermuda swaptions with the new
> Quantlib release (0.3.8) is considerably different from the previous
> release (0.3.7), all the pricing inputs being exactly the same.
> I have tested the bermuda swaptions pricing in QL 0.3.7 with other
> financial software and it seemed correct

Luca,
        I'll look into it. Can you send me some input data to reproduce the  
mismatch between the releases?

Grazie,
        Luigi


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Skinner's Constant (or Flannagan's Finagling Factor):
        That quantity which, when multiplied by, divided by, added to,
        or subtracted from the answer you got, gives you the answer you
        should have gotten.