[Quantlib-users] FloatFloatSwaption pricing with HW1F

[Valerio S. <val...@gm...>]

Hi,

I am using QuantLib Python and I would like to price a FloatFloatSwaption
using the Hull-White 1 factor model with a Finite Different engine.
However, when I call the .NPV() method, it raises an error.

After some research, it appears to me than it is not possible to price a
FloatFloatSwaption with HW1F model and a FD engine. Is it my understanding
correct or am I missing something?

What are the possible ways to price such an instrument with the HW1F-like
model other than the GSR model and the Gaussian1dFloatFloatSwaptionEngine?

Best regards,
Valerio