# Accreting swaption

Is there any literature on the maths behind the computation of the price of an accreting swaption in the LMM model (no monte carlo, closed formula or close enough...)?

Thank you!!

• What's accretion adaption? – Gordon May 17 '17 at 22:16
• Let's say in general. For the fixed leg: $$C_{i}=N_{i}\tau_{i}K +N_{i}-N_{i+1}$$ where $K$ is the swaption strike. – ababoua May 18 '17 at 7:21