Re: [Quantlib-users] Swaption pricer

[Daniel L. <dan...@gm...>]

Hi Peter,

Thanks for your response.

Do you know if there is any online resource available to get guidance
on this pricing and if QuantLib has any pipeline to implement this
Instrument?

BR,

On Sun, 8 Mar 2026 at 00:15, Peter Caspers <pca...@gm...> wrote:
>
> 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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