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1

The underlying is clearly the 10-year tenor payer swap. The underlying is - initially - the 10y swap, 5y forward. In a year from now, it will be the 10y swap, 4y forward (etc).


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Any reason why you want the valuation using Monte Carlo instead of trees? Here is an example using python. After you setup you swaption: import QuantLib as ql calendar = ql.TARGET() today = ql.Date().todaysDate() yts = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.01, ql.Actual360())) exerciseDate = calendar.advance(today, ql.Period('5y')) exercise = ...


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