[Quantlib-users] Bermudian pricing with Longstaff-Schwartz

[Ben W. <ben...@ma...>]

Hi,

We have the need to implement bermudian puttable bonds, where the bonds are
resettable. So leaning towards a MC process and thinking about the early
exit problem. Does Quantlib have the Longstaff-Schwartz American MC process
implemented in a way we could use it with a Hull and White 1F MC as an
example?

If so, would that be in the Quantlib Python release?

If not, are there other models that could be used in this use case?

Warm Regards



*Ben Watson, *CEO

*Maroon Analytics Australia*

Tel: +61 410 474 984

www.maroonanalytics.com

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