Swaption pricing strata 0.9


#1

Hi,
I am trying to price a swaption trade, using the pricer module as I understand the MarketEnvironmentis not yet supported. For this a ImmutableRatesProvider is required. Is it possible to grab this from the MarketEnvironment instance as provided in the examples? Thanks alot.
Oyvind


#2

I had better first looked at this previous answer


which explains this.