Hi everybody,does someone know a reference article for pricing foreign currency default swaps? They are like CDS with as underlying a currency. The credit event happens when the spot rate drops by a prefixed quantity (say, 5 sigma) from the spot rate at the date of inception.I have heard that Merrill Lynch has issued a CDO backed by these contracts, and I suppose that a Black-Scholes barrier option framework is not a good idea because the barrier is a very tail event (hence BS is not indicated). Moreover, this is a hybrid between a CDS and a down-and-out barrier option, (different payoff=1- recovery rate), with quarterly coupon payment if the barrier is reached (and not payment upfront). How these two technicalities can be put in the modeling? Thanks a lot