I am looking for some example to value an
American swaption using
monte carlo simulation of
Hull-white short model with
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
Python will be very helpful