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Re: [Quantlib-users] Swaption pricer
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From: Rich A. <ric...@ma...> - 2026-03-08 17:44:43
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Hi Daniel, As Peter says, QuantLib doesn’t have a Bermudan swaption with an OIS underlying. However, you can use a VanillaSwap as a proxy for the underlying and price it with the existing Bermudan infrastructure. The existing QuantLib examples are actually the co-terminal case you need - a single swap with a fixed maturity date, with exercise dates at each fixed coupon accrual start. When exercised at a later date, only the remaining coupons contribute to the payoff, so the effective swap tenor is shorter while the maturity date stays the same. See Examples/BermudanSwaption/BermudanSwaption.cpp (line 248 onward) and test-suite/bermudanswaption.cpp. The setup is: create a VanillaSwap with your fixed maturity date, build a BermudanExercise from the fixed leg accrual start dates (your 5 exercise dates), and price with FdHullWhiteSwaptionEngine. Under a one-factor Hull-White model with a single forwarding curve, this VanillaSwap proxy is exact - the compound of daily overnight forwards equals the period forward rate on the same curve, so VanillaSwap and OIS floating legs produce identical NPVs. References - Brigo & Mercurio, “Interest Rate Model — Theory and Practice” (Ch. 3 for HW model, tree-based pricing) - Hull, “Options, Futures, and Other Derivatives,” 11th ed. (Ch. 31-32 for short-rate models and trinomial trees) I hope that helps! Best, Rich > On Mar 8, 2026, at 6:53 AM, Daniel Lobo <dan...@gm...> wrote: > > 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? >>> >>> >>> _______________________________________________ >>> QuantLib-users mailing list >>> Qua...@li... >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users |
