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Swaption Bermudan/American exercise #2354

Merged
merged 3 commits into from
Sep 13, 2021
Merged

Swaption Bermudan/American exercise #2354

merged 3 commits into from
Sep 13, 2021

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jodastephen
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Provide mechanism to store Bermudan/American swaptions and exercise them to create a simple European one

Provide mechanism to store Bermudan/American swaptions
and exercise them to create a simple European one
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@beajeanm beajeanm left a comment

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I'm happy with the code structure, I'll let @ChristianOG chime in on the model

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@ChristianOG ChristianOG left a comment

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Looks very good apart from the "exercise" function, which I'm assuming is what gets returned in the case that the Bermudan is exercised: for vanilla Bermudans it should return a swap, now a swaption.

@@ -155,6 +174,48 @@ public RateIndex getIndex() {
return (RateIndex) underlying.allIndices().iterator().next();
}

//-------------------------------------------------------------------------
/**
* Exercises the swaption at one of the optional exercise dates.
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When a Bermudan swaption is exercised (or called), it exercises directly into a swap, not a swaption.

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So unless I am misunderstanding the gist of this code, this function should probably return a Swap.

@jodastephen jodastephen merged commit e664b43 into main Sep 13, 2021
@delete-merged-branch delete-merged-branch bot deleted the topic/swaption branch September 13, 2021 10:24
@jodastephen jodastephen added this to the v2.11 milestone Jan 5, 2022
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3 participants