Re: [Quantlib-users] Swaption pricer

[Rich A. <ric...@ma...>]

Hi Peter and Daniel,

Thanks for the clarification Peter. I’ve opened a GitHub issue to track adding native OIS support to the FD Bermudan swaption engines.

Best,
Rich

> On Mar 8, 2026, at 1:23 PM, Peter Caspers <pca...@gm...> wrote:
> 
> 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... <mailto: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... <mailto: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... <mailto: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... <mailto: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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