<t>Hi Costeanu,thanks again for your help. I am now trying to price Swaptions using my simulated scenarios. To do this, I calculate the payoff as max(S(T_0)-c,0)*A(T_0), where T_0 is the SwaptionMaturity, S is the Swap Rate and A is the Annuity Process. Then I discount the Payoff using the determini...