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finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.

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Non-vanilla Bermudan Swaption

summepau opened this issue · comments

commented

Hi,
How should I build a Bermudan Option on a general swap in the LMM? For example a swap paying CMS v Libor. The BermudanSwaption class assumes a Fixed/Libor swap.

Thanks

Paul

commented

This can be done using the component in net.finmath.montecarlo.interestrate.products.components.Option and build the product from individual components. Easier is to just create your own product starting from BermudanSwaption and using an Index like net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate (this would be a minimal change to the BermudanSwaption class). Good suggestion, maybe I will add it.