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Cir2++ swaption formula
HelloI'm trying to implement a code to price swaptions with cir2++ (for calibrating purpose).I found the g2++ pricing formula " straightforward " but with the Cir2++ I don't know where to start.Which approximative formula should I use ? I found a paper in which they use Gram-Charlier expansion (cheng).But I have never had to compute swap moments ( I don't see how it has to be done).Any hint ? Thank you for your time
Cir2++ swaption formula
It's alright now ! It's computed.But I'd like to know the method that is used in practice (except MC or tree).Thanks