Zero coupon cross currency bermudan swaption

koolad · October 18th, 2013, 8:56 am

Hi..I wish to price a zero coupon cross currency bermudan swaption..The underlying swap has a fixed leg payment and no payment on the other leg(ie zero% on the other fixed leg)..what do i do? Any refs?

japanstar · October 18th, 2013, 9:16 am

Sorry for asking, but If your underlying swap is fixed to fixed, what is the option random underlying asset?

koolad · October 18th, 2013, 11:04 am

I actually wish to price a USD-CAD cancellable swap where the notionals are exchanged and then the guy who got the CAD notional pays a fixed amount every month and the guy with USD pays nothing. If the guy with CAD has the option to cancel the swap he pays more, if the person with USD has this option the payer pays less. If the swap is cancelled the original notionals are exchanged again.