Pricing CMS Swap with HW one Factor Model

Posted by jordi100 on May 11, 2010; 7:53am
URL: http://quantlib.414.s1.nabble.com/Pricing-CMS-Swap-with-HW-one-Factor-Model-tp8568.html

Hi

I have seen that there is the possibility to price CMS swaps with the convexity adjustment proposed by Hagan. For testing I would like to price a CMS with the one factor model HW model. I have seen that there is an implementation for a Vanilla Swap (treeswapengine) but this engine requires a Vanilla Swap. I would be glad if somebody could tell me how best to start this project. Rewriting treeswapengine?

thanks!

Jordi