I am looking for some example to value an American swaption
using monte carlo simulation
of Hull-white short model
with Quantlib
.
There is a list of various pricing engines available in https://quantlibjl.readthedocs.io/en/latest/pricing_engines.html, although it is with Python. However there is no mention of the simulation approach.
There is a similar discussion available in https://quantlib.wordpress.com/2015/06/27/xva-for-bermudan-swaptions/#respond. This suggested to build a pricing engine in the line of -
boost::shared_ptr<PricingEngine> mcEngine =
MakeMcGaussian1dNonstandardSwaptionEngine<>(gsrFixed)
.withSteps(1) // the gsr model allows for large steps
.withSamples(10000)
.withSeed(42)
.withCalibrationSamples(10000)
.withProxy(true);
However I failed to find any class called MakeMcGaussian1dNonstandardSwaptionEngine
in the Quantlib's
git repository. So, where does this class MakeMcGaussian1dNonstandardSwaptionEngine
come from?
There is also a discussion in American Swaption Pricing with Monte-Carlo method. However the link given in the solution appears to be broken.
Any pointer towards simulation approach for American swaption pricing with C++
or Python
will be very helpful