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.

You wouldn't by any chance be thinking about CAD swaps, where the floating side is set to 3-month CDOR, but paid semi-annually? Or do you literally mean a 3-month rate used to determine a 6-month payment (kind of the reverse of a CMS. where a longer-term rate is paid over a shorter-term period)? Are you wondering about a possible convexity correction?