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- 7/22/13
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Hello everyone,
I have implemented an algorithm for pricing Bermudan swaptions in the Hull-White model and I want to somehow check whether my code is correct.
The swaption is written on a swap with length of 7 years and the swap rate at 3% with reset dates once per year; the market forward rate at 3% too. The bermudan swaption has 2 exercise dates, one at the first reset date and one at the second reset date of the swap. I have assumed that the volatility of the short rate is 10% and the mean reversion speed is 1. The price I get for the payer swaption is 2.73% of the nominal amount and for the receiver swaption is 2.41%.
What do you think? Do these result make sense?
Thanks.
I have implemented an algorithm for pricing Bermudan swaptions in the Hull-White model and I want to somehow check whether my code is correct.
The swaption is written on a swap with length of 7 years and the swap rate at 3% with reset dates once per year; the market forward rate at 3% too. The bermudan swaption has 2 exercise dates, one at the first reset date and one at the second reset date of the swap. I have assumed that the volatility of the short rate is 10% and the mean reversion speed is 1. The price I get for the payer swaption is 2.73% of the nominal amount and for the receiver swaption is 2.41%.
What do you think? Do these result make sense?
Thanks.
