Integration Points


Key Integration Points in
Gaussian 1d Swaption Model refers to the number of points on the positive axis that define the discretization of the referenced normally distributed swap rate.
For example, an entry of 100 means the swap rate is discretely distributed over a total of 201 points symmetrically allocated around 0.
Testing shows that this entry has a proportionate effect on the pricing time for
FxdFlt Swaption and FltFlt Swaption
A minimum value of 2 is required, whereas 16 seems to be a descent input.