Re: [Quantlib-users] Swaption pricer

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

Hi Daniel,

I don't think we have this variant of a Bermudan swaption in QuantLib.

Best
Peter


On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote:

> Hi,
>
> I need to price a Bermudian type swaption which has multiple maturity
> dates (total number 5) however underlying swap is OIS, which has a
> fixed maturity date.
>
> I found some swaption examples, where underlying swap has only fixed
> maturity term, not fixed maturity date. Therefore in my case, at eah
> exercise date, underlying swap's maturity term is lesser.
>
> Can you please point if there any such quantlib implementation or
> example to price such swaption based on hull white model?
>
>
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