Gauss Hermite Points


Key Gauss Hermite Points in
Markov Functional refers to the number of discrete points used in the numerical calculation of a 1-dimensional Gauss-Hermite integration.
Testing shows that this entry has an effect on the pricing time for
FxdFlt Swaption and FltFlt Swaption
A minimum value of 1 is required, which though leads to inaccurate results.
A value of 8 seems to be a descent input.