The pricing engine is based on Finite-difference methods (FDM) to estimate the value of Bermudan Swaption. Here, we used the two-additive-factor gaussian (G2) model instead of single-factor Hull-White model. The concept of finite-difference methods is introduced in the article Internal Design of Finite-difference Hull-White Bermudan Swaption Pricing Engine.
For a swaption, the owner is allowed to enter the swap on several pre-specified dates as well as coupon dates of the underlying swap. Notice that we evaluate the value of the swaption as a payer who pay the fixed leg and receive the floating leg of the interest rates.