Floating/Floating Cancellable Swap

remibi · March 14th, 2002, 10:45 am

Hi all,I am looking for documentation related to the pricing of Floating/Floating Cancellable Swap. What is the model used?Thanks.

Pat · March 19th, 2002, 8:27 pm

Remibi: What's the precise deal? Is it something like, say, 10y floating leg (3m USD Libor) against 10y floating leg (3m EUR Libor), cancellable after 3y with exchange of notionals on final pay date?

remibi · March 20th, 2002, 5:13 pm

Yes, it is that kind of swap.

Thank you for the answer.