Re: [Quantlib-users] Swaption pricer

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

Hi Rich and Daniel,

Apologies, I misunderstood the trade terms - I thought we were talking
about a swaption exercising into an underlying swap with constant maturity
measured from the respective exercise date!

Thanks for clarifying.

Best
Peter

On Sun, 8 Mar 2026 at 18:25, Rich Amaya <ric...@ma...> wrote:

> 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?
>
>
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