[Quantlib-users] QuantlibXL to price amortising bermudan swaption?

[troos222 <tro...@ya...>]

Hi all,

I would like to price an amortising (i.e. non-constant notional) bermudan
swaption using the QuanlibXL addin. The Quantlib XL distribution contains an
example bermudan swaption calculator that works for standard (constant
notional) bermudans. The calculator creates a swap, then feeds this into
qlSwaption, and finally to the qlTreeSwaptionEngine. I have modified this
calculator by building an amortising swap instead of a constant notional
swap. Unfortunately when I try to feed this into qlSwaption, I get error

qlSwaption - Error retrieving object with id 'amowap#0001' - unable to
convert reference to type 'class QuantLibAddin::VanillaSwap' found instead
'class QuantLibAddin::Swap'

I could not find an alternative to qlSwaption that might handle amortising
swaps. I assume this means that amortising swaptions currently cant be
priced using QuantLibXL, but just wanted to make sure I am not missing
something.

Thanks,
Tom



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