[Quantlib-dev] BermudanSwaption using non flatforward YieldTermStructure

[lowlyworm <jb...@gm...>]

Hi all,

I'm trying to reproduce some calculations from Brigo and Mercurio book
interest rate models - theory and practice 2nd edition. particularly the
g2++ model in chapter 4. I'm using the BermudaSwaption example and have
modified the data but am not understanding how to change from the
FlatForward YieldTermStructure to a non-FlatForward yield term structure
(using values from Fig 1.1) so i can reproduce their results. Any help would
be greatly appreciated!

Thanks -Joe


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