QuantLib Swaption Pricing
Echo Liu
I'm trying to replicate Bloomberg's swaption pricer(SWPM -OV) in QauntLib. I'm using the same curve(USD SOFR) for both forward and discount curves. However, the code I wrote in python gave me unreasonable npv - in this example, npv= 8.97 and delta= 235944.37 for a 1MM notional 1Mx10Y swaption, while I was expecting NPV=10359 and delta=-414 as shown Bloomberg (see picture attached). I have searched relevant posts but couldn't solve the problem. Something must be totally off given the scale of the