notional exchange for cross currency swaption

kongwenb · February 16th, 2011, 9:42 pm

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.

ReallyOld · February 17th, 2011, 12:11 am

Yes, that is the way I believe it is done.

kongwenb · February 17th, 2011, 1:33 pm

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.

ReallyOld · February 17th, 2011, 8:03 pm

Yes, on callable deal, the notional plus accrued interest (if any) is exchanged on the delivery date.