[Quantlib-users] Re: possible swaption mispricing...

[Luigi B. <lui...@gm...>]

On 11/13/2005 05:40:05 PM, Toyin Akin wrote:
> A 10 year swap starting from spot (ValueDate+SettleDays).
>=20
> Let's also have a swaption structure where we want to have the option =20
> (European let's say) of cancelling this swap at year 5.
>=20
> It looks like if you were simply to pass in the 10 year swap object =20
> created above to the swaption() class, the swaption class (along with =20
> all it's various pricing engines) assumes that the swap starts after =20
> the exercise date and simply uses all the cashflows within the swap, =20
> even those before the first exercise date. Thus mispricing the option.

Right (except for TreeSwaptionEngine, which prices the swaption =20
correctly.)

I'll see what I can do.

Luigi

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Every solution breeds new problems.
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