Bermudan interest rate swaption is an option on interest rate swap. It's an interest rate dierivative product from capital markets.
One factor Hull & White interest rate model is a popular choice for valuating interest rate swaption due to its simplicity and ease of implementation.
The implementation consists of model volatility parameter calibration based on closed form and Bermudan sawption pricing based on trinomial tree lattices.
Python - c++ bindings were applied and the model was run through jupyter notebook.