Hi,thanks for your answer, you're right. If I change the black vol so that the bps vol remains the same the prices are constant. I just wouldn't have thought that those pricing systems use the bps vol instead of the black vol

<t>Hi,I have the following problem:I price a swaption on a swap with a spread on the float leg and get a price.Now I shift the yield curve with the same spread and remove the spread on the float leg. So the underlying swap doesn't change, it has the same underlying forward and PV, doesn't matter whe...

Thanks for your suggestions. I've found a paper and I think it will help.

<t>Hi,I'm searching a paper about pricing swaptions on amortizing swaps. I know, that there different ways to handle this problem (option on basket of bullet swaps, one swap with the same par rate as the amortizing swap...).My Problem is, that I can't find a paper discribing on way of pricing these ...