BondFutureOptionPremium upfront american option on bond futures?


#1

Hi All,

I have posted this under developer’s category too, with no answer, so I thought maybe I put it also under general, in the hope of an answer.
Is BondFutureOptionPremium supposed to represent an American option (upfront premium) on bond futures ?
Am I right that opengamma is using black method in order to price that American option? shouldn’t an American option approximation or a lattice method be used? I read on one of your papers that “…with up-front payment the interest rate plays a role in the early exercise. We are back to the standard American option early optimal exercise question, a nontrivial one.”

Thanks in advance.
quantobe