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From: Daniel L. <dan...@gm...> - 2020-10-08 09:35:21
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Hi, I posted a similar question elsewhere, however failed to generate enough response. I was looking at an article here - https://quantlib.wordpress.com/2015/06/27/xva-for-bermudan-swaptions/#respond There they mentioned a specific MC engine called MakeMcGaussian1dNonstandardSwaptionEngine. The use of this engine as it appears there - boost::shared_ptr<PricingEngine> mcEngine = MakeMcGaussian1dNonstandardSwaptionEngine<>(gsrFixed) .withSteps(1) // the gsr model allows for large steps .withSamples(10000) .withSeed(42) .withCalibrationSamples(10000) .withProxy(true); However I failed to find any such engine in the Quantlib repository. Could you please help me to identify this engine? Is it user created? In that case, how exactly should I create this engine to price a typical swaption? I really appreciate your help. Many thanks for your time. |