An extendible option means that you can exercise the option once in some predefined dates and must exercise once. Then what is an extendible collar? any good example?

Any idea? Thanks in advance.

Can anyone share the following paper with me? Thanks a lot.D.Gatarek, "BGM Models: Modelling without Tears", RISK, September 2000

so "360/360" in EUR is equivalent to the second one, "30E/360", right? Thank you, David.

Is there anyone who understands the day count convention 360/360 in Europe? Thanks a lot.

Thank you. So for the callable swap the notional will always exchange at the initiation, and if it is called the notional will exchange back immediately?QuoteOriginally posted by: ReallyOldYes, that is the way I believe it is done.

What is the convention for the notional exchange? I think the front notional exchange happens at initiation, which is before the first coupon day, and the back notional exchange happens at the last coupon day. Is it correct? Thanks in advance.

We have tried ratio matching, and the result seems not good.