I'm looking for some pointers and/or material on pricing PRDCs.What underlying termstructure models would be used (market practise)?Apart from not being able to find relevant market quotes to calibrate the model from, any other major pitfalls?Thanks!Rutger

Hi,Make a search on technical forum and you will find many threads on that topic.I would say 3f-HJM /3f-BGM are market practises, even if a more complex model may be required, in order to take into account :1) on one side the volatility hump of the IR vol term structure (a 2f model for each term structure ...);2) on the other side FX volatility skew (a SV model for FX ...)As you can see, implementation of such a model becomes unmanageable.Nevertherless, one can add many improvements to a 3f Model:1) Allow piecewise constant volatililities for IR;2) Local Vol or piecewise constant for spot FX rate;Other major pitfalls of the model as for every multi-factor model is the correlation risk.For many other details see the previous threads on technical forum.Hope it's helpful,

Many thanks!I obviously didn't get the search engine to work for me the first time. Trying once more gave results.I'm going to do some homework now... talk to you later (in a few years time or so /Rutger

hi allIs there any web resource which Explains the Concept of the Power Reverse Dual Currency in details.please email me at virtual2real@yahoo.com

so rutgers did u able to find the details ?I tried but not much of info