21 19 17 16 15 13 11

20 18 16 15 14 12 11

19 17 15 14 13 12 10

18 16 14 13 12 11 10

15 14 13 12 12 11 10

13 13 12 11 11 10 9]/100;

length(Tenors),1);

repmat(360*Tenors,1,length(ExerciseDates)),1),size(EurExDatesFull));

for iTenor=1:length(Tenors)

    [~,SwaptionStrike(iTenor,iSwaption)] = swapbyzero(RateSpec,[NaN 0], Settle, EurMatFull(iTenor,iSwaption),...

        'StartDate',EurExDatesFull(iTenor,iSwaption),'LegReset',[1 1]);

    SwaptionBlackPrices(iTenor,iSwaption) = swaptionbyblk(RateSpec, 'call', SwaptionStrike(iTenor,iSwaption),Settle, ...

        EurExDatesFull(iTenor,iSwaption), EurMatFull(iTenor,iSwaption), SwaptionBlackVol(iTenor,iSwaption));

end

swaptionbyhw(hwtree(hwvolspec(Settle,'11-Aug-2015',x(2),'11-Aug-2015',x(1)), RateSpec, TimeSpec), 'call', SwaptionStrike(relidx),...

EurExDatesFull(relidx), 0, EurExDatesFull(relidx), EurMatFull(relidx));

'DeltaTime',DeltaTime,'Tenor',Tenor,'antithetic',true);

BermudanExerciseDates,BermudanMaturity);