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With regards to the following:

https://www.mathworks.com/help/fininst/price-bermudan-swaptions-with-different-interest-rate-models.html

It seems to me that the HW1 model is used to generate the following zero curve space through MC simulations:

enter image description here

and and that the 'future term structure' is used to discount the fixed leg cashflows to price swaptions.

  1. Am I right about the methodology used here?
  2. If so, how does one achieve this (other than obviously replicating what's shown in the page)?

My understanding is that the HW1 factor model can generate zero curves at the current time, which when calibrated average to the given term structure.

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