I have a question of how to price a special interest rate swap (timing delay payment for the floating rate payment)For the vanilla interest rate swap, the payment frequency is the same as the reset frequency. Now we consider the situation where the payment frequency is less than the reset frequency. For the floating leg, for the easy case, there is only one payment but two resets. The first reset date is T, the accual period is delta, the payment date is T+2delta. The second reset date is T+delta , the accual period is delta, the payment date is the same: T+2delta, assuming the notional amount is N, how to calculate the t- value of the floating leg payment? Using the Forward Libor market measure or risk neutral measure?If you are interested in this problem, we can discuss it together. I think it is pretty interesting and challenging.

The first reset needs be delay-adjusted to reflect the fact that payment is at T + 2*delta. The second one is just fine -- I'm assuming both resets are of the tenor delta. If there is any compounding, it is handled trivially.

I.e., your compounding up to 6 months using "additive" for the compounding rule?