Hi,
I'm trying to use the cumulats method which you can find here:
http://www.math.ku.dk/~rolf/DufGoldJoD.pdf
I also code a Monte Carlo method to compare the prices of swaptions computed via the cumulats method. I have found some errors between the 2 prices for swaptions ATM.
Does anyone has any advice? Is it possible that this approximation does not work well in the ATM case?
When I try to price ITM and OTM swaptions, the prices computed with the 2 methods are pretty close (both G3 and CIR2).