Hi All,

I am looking to price swaptions in a HJM framework using Lévy processes.

I did the pricing in a Gaussian framework and I would like to compare implicit smile with the Lévy one.

I tried some implementation using FFT or simple integral discretization but I could not manage to have my program work correctly. Swaption prices are totally wrong and my code is, i think, totally wrong (C++ implementation).

Does someone have a matlab/C/C++ (or whatever) with this pricing? I am doing this for a final year project at school.

Thanks a lot for any help ,

Regards,