Re: [Quantlib-users] Bermudan swaption engine for GSR model?

[Peter C. <pca...@gm...>]

Hi Mark

1) no - the model and the engine do not interoperate
2) there is no GSR engine for American swaptions, for Bermudan
swaptions you can use Gaussian1dSwaptionEngine,
Gaussian1dNonstandardSwaptionEngine

Kind Regards
Peter

On Fri, 7 Oct 2022 at 16:50, Mark <gr...@gm...> wrote:
>
> Hi,
>
> I used GSR model with Gaussian1dSwaptionEngine for bermudan swaption, I can get some result, but if I used GSR together with TreeSwaptionEngine, I will get below error. So I have two questions:
> 1)  are we able to use GSR together with TreeSwaptionEngine?
> 2) Is there some particular swaption engine for Bermudan swaption and American swaption compatible with GSR model?
>
> Thanks,
> Mark
>
>
> TypeError: Wrong number or type of arguments for overloaded function 'new_TreeSwaptionEngine'.
>   Possible C/C++ prototypes are:
>     TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,Size,Handle< YieldTermStructure > const &)
>     TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,Size)
>     TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,TimeGrid const &,Handle< YieldTermStructure > const &)
>     TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,TimeGrid const &)
>     TreeSwaptionEngine::TreeSwaptionEngine(Handle< ShortRateModel > const &,Size,Handle< YieldTermStructure > const &)
>     TreeSwaptionEngine::TreeSwaptionEngine(Handle< ShortRateModel > const &,Size)
>
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