Re: Bermudan swaption patch (was Re: Possible problem on bermuda swaptions)

Posted by Luigi Ballabio on Feb 24, 2005; 8:57am
URL: http://quantlib.414.s1.nabble.com/Possible-problem-on-bermuda-swaptions-2-tp3621p3632.html

Oops, I forgot.

On 02/24/05 15:05:24, Luca Berardi wrote:
>
> 1) you are silently assuming that exercise dates coincide with payment
>    dates of the underlying swap.

Did you have a chance to use the patched library with your own code? In the  
above approximation, do you obtain the right figures?

> I realize that getting things working correctly (should my
> interpretation be indeed correct) is not an easy task in the current
> framework. This is because the DiscretizedSwaption does not know of
> the underlying swap's cashflows. A possible workaround would be to
> rewrite the pricing engine as to rollback the swaption and the swap
> together...maybe?  Could I be of any help?

It would require some thought. You're welcome to give it a try.

Later,
        Luigi

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