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pricing of forward start bermudan swaption
Hi;How is a forward start bermudan swaption priced from a trinomial tree, given that the tree has been calibrated to European swaptions (via LM).The (calibrated) fwd instantaneous vols are piecewise constant at quarterly intervals.Googling doesn't seem to yield any useful results, could anyone point me to the appropriate literature/reference/book etc? Thanks in advance.