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QuantLib prices bermudan swaptions by mapping them to objects of type CallSpecifiedMP that derive from MarketModelMultiProduct. The corresponding Deriscope types are QLCallSpecifiedMP and QLMMMultiProduct respectively.
The challenge is to construct the QLCallSpecifiedMP object so that it describes the referenced bermudan swaption.
A QLCallSpecifiedMP object is specified through its "Underlying", "Rebate" and "Strategy" contents, which are of type QLMMMultiProduct, QLMMMultiProduct and QlExerciseStrategy respectively.
The default construction of the QLCallSpecifiedMP by Deriscope follows the construction algorithm used by QuantLib in its Market Model testing. Unfortunately the resulting product cannot describe a bermudan swaption as its price often turns out to be zero or negative.
Nevertheless this faulty construction is retained in order to enable the user to redefine the QLCallSpecifiedMP ingredients in the hope of properly capturing the bermudan swaption.
Click on download to download an xml file that contains an Excel formula that demonstrates this issue.
You may then reproduce the issue in spreadsheet by clicking on Go -> Load Excel Formula from Text File or one of its variations and choose the xml file downloaded in the step above.