Dear all,Any suggestions on cross currency swaption pricing shall be highly appreciated.In addition, could you, please, cite some sources of information on the topic above.Thanks

Currency swaption is an option to pay or to receive (or to enter the swap as payer or as receiver) the fixed rate in a cross currency swap. It’s a variant on the standard currency or irs in which the interest rate in one currency is fixed, and the interest rate in the other is floating.Also called a circus swap where the currencies of the two legs are different.On maturity of swap there is an exchange of principals , and this could give rise to some sort of currency risk.A company could raise money in any market and swap proceeds into the currency that it requires. For details regarding pricing se paper attached, rgds.

hi portfolio,Take a look at the thread title (Technical papers): HW Extended Vasicek & Dual CurrencyYou will find some of the papers i used to implement Trigger & Multi-callable Power Reverse Duals.Hope it will help.

Thank you all,the cited papers seem to be of great help.Regards