Bermudan Swaption Support


#1

I’ve been looking everywhere in documentation as well as through the source code and example code out there but I cannot find any mention of support for pricing a bermudan swaption which I assumed would be included. Does Strata support this out of the box or is it something I’d have to write up on my own?


#2

Strata does not have support for Bermudan at the moment, sorry.