  In this paper, we prove new convergence results improving the ones by
Chassagneux, Elie and Kharroubi [Ann. Appl. Probab. 22 (2012) 971--1007] for
the discrete-time approximation of multidimensional obliquely reflected BSDEs.
These BSDEs, arising in the study of switching problems, were considered by Hu
and Tang [Probab. Theory Related Fields 147 (2010) 89--121] and generalized by
Hamad\`ene and Zhang [Stochastic Process. Appl. 120 (2010) 403--426] and
Chassagneux, Elie and Kharroubi [Electron. Commun. Probab. 16 (2011) 120--128].
Our main result is a rate of convergence obtained in the Lipschitz setting and
under the same structural conditions on the generator as the one required for
the existence and uniqueness of a solution to the obliquely reflected BSDE.
