We describe a number of ideas for speeding up and improving the performance of the Cheyette (1992) yield curve model with particular attention to the pricing of Bermudan swaptions. Specifically, we present: a better skew specification, a more efficient method for pricing, closed-form...

In the context of a stochastic local volatility model, we present a numerical solution scheme that achieves full (discrete) consistency between calibration, finite difference solution and Monte-Carlo simulation. The method is based on an ADI finite difference discretisation of the model