Yes exactly that's the one thanks!

You can use fixed strike asian model as long as you are not inside the averaging period yet - there is a paper by henderson et al which tells you the formula - i will look out the ref for you - i have it somewhere

<t>Good idea to post exact contract as gjlipman says. However, generally speaking you need to take into account the expiry dates of the futures contracts - i.e. if they expire in the middle of the month then you will need four futures prices rather than three. To do an accurate calculation you need ...

There's a very clear worked example in "Implementing Derivatives Models" by Clewlow and Strickland. I think there might also be one in "Option Theory" by Peter James. If not, theres definitely a fairly detailed chapter about implied trees.

The Accidental Investment Banker by Jonathan Knee is really good - very funny and well written.

<t>eps1 and eps2 are both random normals but its important to get them the right way round when using eps3, which should be the correlated random with eps1. Its probably a good idea for you to read a bit about multi-factor Monte Carlo and correlated random numbers - Hull has a good basic section abo...

Stn1 and Stn2 should use eps1 not eps2

The function returns a 2D array, not a single value - so if you don't view the return array you are just viewing element [0,0] of it.

The function returns a 2D array, not a single value - so if you don't return an array, you are just looking at the top left hand element of it rather than the whole result.

Flat-fronts better if you are slim, pleats if not!

You can order them from the British Library online! Its a bit expensive though - can't remember how much - certainly comparable to the price of the bottle of red for bribing friend in academia!

Results look much better! The thing about the double barrier pricer you compare your MC with is that it works better with close barriers and longer time to maturity.

Have you tried many test cases or just the example below? If not then I would suggest to try some different test cases - maybe with barriers closer together or a longer time to maturity.

How did you test your Heston MC? I would suggest comparing the Heston MC vanilla prices vs the (semi) analytic Heston pricing formula - you will get a better feel for convergence this way - and I agree with Antonio that 9000 paths is not that much.

hi gauraviitm - you might like to know there are some very useful threads on the subject of Bermudan Swaption pricing by "Pat", discussing the use of 1f models for pricing Bermudans - and also giving some advice about which maturity/underlying tenor European Swaptions to use for callibration