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From: <log...@se...> - 2022-11-13 14:13:03
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Hello, I'm pricing a swaption where the underlying swap's floating leg is based on curve1. Then I have another curve, say curve2, which I use in GSR like this model = ql.Gsr(curve2, volStepDates, volatilities, reversions) When I use in the swaption pricing: A) engine = ql.Gaussian1dSwaptionEngine(model) B) engine = ql.Gaussian1dJamshidianSwaptionEngine(model) I'm getting quite a significant difference between NPV A) and NPV B), is not due to technical nature of the pricer. It feels like Gaussian1dJamshidianSwaptionEngine ignores the floating leg's curve1 (and usese curve2 everywhere), while the Gaussian1dSwaptionEngine takes into account curve1 for the floating leg. Can someone please explain how curves are treated in these pricers? Thanks, M. |