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BlueDonauRive
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Joined: September 3rd, 2007, 10:06 pm

USDJPY Cross currencey structured swap

September 14th, 2007, 2:08 am

5 years contract, and settlement every 3 monthsParty A pays: 1 million USD *USDJPY-Rate Here USDJPY-Rate=95 So,Party A pays 95 million JPYParty B pays: by USD 1 million* FactorFactor: 1) In Year 1, Factor=100% 2) Thereafter: Factor= [revious Factor+ (USDJPY spot rate at settlement day -97)/97]*N/MFloored at 20%, capped at 100%Here, N=Number of business days in the accrual period where “ CMS30Y-CMS2Y>=-0.05%” M=Number of business days in the accrual period=3 MonthsCancellation option: party B have the right, but not the obligation, to cancel this cross currency swap in whole without any costs 3 days before each settlement day.