Re: [Quantlib-users] Swaption pricer

[Ioannis R. <qua...@de...>]

You can use the QuantLib type VanillaSwaption. It references an 
underlying ibor swap with a fixed maturity date. If you need an OIS 
underlying, you can use a custom ibor of which the tenor equals the 
period of the fixed leg of the OIS.

On 3/7/2026 7:45 PM, Peter Caspers 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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