Re: [Quantlib-users] Bermudan Bond Options

[Ferdinando A. <fer...@am...>]

At 05:14 PM 6/13/2002 +0200, Perissin Francesco wrote:
>I need to define a bermudan swaption having a bond as underlying. The main
>difference between this opt and the classical bermudan (like the one defined
>in the BermudanSwaption example)is the following: the bond has a quote type
>in percentage of the nominal. So, the strike in terms of coupon is useless,
>and one should use a strike like 100 if the bond can be called at par.
>In more general implementations the bond could have different coupons on the
>different periods, or maybe even floating or digital coupons.
>Isn't it? Is there anything in QL that can help me?
Sorry, in QuantLib there is not a callable bond class, mainly because there 
is not a bond class at all (even if a std::vector<CashFlow> could be used 
as bond skeleton)

You will have to go the swaption way, where the underlying swap has a fixed 
leg given by the bond coupons, and a floating leg taking into account all 
the other details as redemption price, re-financing cost, etc.

hope this helps

ciao -- Nando