Bloomberg Bermudan swaption pricer

Brown · May 9th, 2006, 12:14 pm

Has any benchmarked the Bermudan swaption pricer in BB? Does it give price indications in line with what one can expect from a trading desk.Thanks for any feedback.

Stochastic44 · May 10th, 2006, 4:33 pm

fred?..

Brown · May 11th, 2006, 10:44 am

Meanwhile I've asked three contacts at banks to price a simple Bermudan structure: Bloomberg's figure was way off mark.

Olya · May 11th, 2006, 11:47 am

What was this "simple Bermudan structure" and Bloomberg's figure? I'd be interested to compare with what I can get with our models.

Brown · May 12th, 2006, 12:17 pm

ReceiverTenor five yearsFix coupon swap 5yFloating euribor 6mOption excercisable every fix coupon date

Brown · May 12th, 2006, 12:28 pm

OlyaTo simplify: here a BB screen shot.

Joshua2004 · May 12th, 2006, 2:22 pm

the most expensive european option with your contract is around 1.31 with balck vol of 16.2 start from May/2008, the BMD is higher than that with .31 on BB. What's the value do you get from other system under simular vol and curve?

Brown · May 19th, 2006, 11:14 am

Sorry I have out.The calculation I got from two banks were around 3.6%

Joshua2004 · May 19th, 2006, 1:15 pm

what do you mean 3.6%? that's the premium?In the mean time you can check the cap with same tenor and strike has premium 1.733, then BMD must be lower than cap, and higher than most expensive European. BB gives you right range.