Congratulations on v1.0
I read the analytic coverage pdf in Jim’s announcement. It mentioned linear terminal swap rate method in swaption pricing. I am familiar with the use of terminal swap rate approach in CMS pricing. When you are using in direct swaption pricing is it to handle cash settled swaptions? are there any more details other than reading the code?
Swaption pricing: Linear terminal swap rate method
Gary,
Yes you are right, we have implemented a pricing of cashsettled swaptions using a linear Terminal Swap Rate method. We are added technical documentation for OG Analytics as we speak.
The method was implemented for an analysis of different pricing approaches to cashsettled swaptions. In particular it was used for the presentation “Cashsettled swaptions: How wrong are we?” at the 7th Fixed Income Conference. The above presentation has just been added (docs.opengamma.com > Analytics > Presentations and click on the attachment symbol next to “Presentations”).
I will be adding more details in the “Swaptions” document in the “Quantitative Papers and Working Notes” section (to be pushed in the docs very soon).
The OG Analytics technical documents (swaptions, CMS, bond futures, forex options, smile extrapolation and many more) have now been uploaded.
To answer more specifically to your question on Linear TSR model for cashsettled swaptions, it is described in the section 5.2 of the Swaption Pricing document. The formulas are taken from the chapter 16 of Andersen and Piterbarg book (with adaptations for the multicurves framework).
hi OpenGamma,
I tried to implement the TSR method for cashsettled swaption using the formula in the OpenGamma research paper “SWAPTION PRICING”. I have several questions since my Pv value seemingly doesn’t make sense.

can I fit a flat curve with rate S0 (swap rate at 0) and use this curve to construct the the cashsettled annunity?
I don’t use the formula G(S) = 1/S (1 1/(1+1/m*s)^n. 
Do we expect the physicalsettled swaption pv has big different with cashsettled swaption if other conditions are the same?

The foumula in the paper A0(k(K)*Swpt(S0, K) + integral part). Seems like this formula implies that the cashsettled pv value is larger than physicalsettled pv because sometimes A0 is big. Is that right?
Thanks for any information.
George