Cross Currency (XC) Swaption Pricing

jazzstandard · March 8th, 2004, 6:30 pm

Hi,Does anyone have any good references for pricing cross currency swaptions,especially the case where the notional exchange is done at the back only(and variations such as fixed-fixed, etc).Thanks

TheFresher · March 9th, 2004, 12:20 pm

Good morning/afternoon,two documents in pdf format that might help you:http://tns.ndhu.edu.tw/~pkuo/web_fic/pa ... pdfRegards.

jazzstandard · March 11th, 2004, 1:36 pm

Hi,Thanks for those references. Does anyone have experience/suggestions about usingthe 'terminal swap-rate model' of Hunt and Kennedy to value cross currency swaptions(i.e. as in their book).ThanksJazzstandard