Model[Float_Float_Swaption]__Pricing_Method

Available

Corresponds to the QuantLib Gaussian1dFloatFloatSwaption Engine powered with a one-dimensional gaussian short rate model.

Here the user must also supply an object of type Gaussian 1d Model containing the volatility and mean reversion parameters that specify the exact dynamics of the short rate diffusion.

Optionally the

The calibration is achieved through the local function GSR Model::Calibrate.

An object of type Model[FloatFloat IRS] is also required to convey several assumptions guiding the modelling of the floating rates within the underlying FloatFloat IRS

An VanillaOption Adjusted Spread may be also defined in situations where credit spreads are involved.

An example would be a bermudan callable floating rate bond, of which the call right may be priced if viewed as a swaption to enter into a one leg swap with notional reimbursement at maturity and an exercise-linked rebate paying the notional.