Hello all.I am going through Pat's paper on Range accruals.There on page 19, he states that if the European swaption is exercised the value of floating leg of the underlying swaption is :V_fl(t,x)=Z(t,x;to)-Z(t,x;tn)+Sum(i=1:n){ cvg(t(i-1),t(i)) * bs_i * Z(t,x;ti) }where cvg(t(i-1),t(i)) is the fraction of the year in interval [t(i-1),t(i)].Formally Pat defines it on page 7, where he expresses the fwd value of thefloating rate as r_i = [ Z(t;ti_1) - Z(t;ti) ] / [ cvg(t(i-1),t(i)) * Z(t,x;ti) ] + bs_iwhere bs_i is the basis spread for the funding leg's floating rateCould you explain to me what bs_i is?Also, more trivially could you explain to me the remaining of the floating leg expression?

hei.. i am interested to take a look at his paper. Pat, mind sending me a copy of it?thanks.amkey04