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swap: both parties have rights to cancel
Hi,I have a swap where both parties have the rights to cancel.Am I correct in saying that:1/ the faire value of the deal (swap+swaption) is zero if the swaption is European ?2/if it's Bermudan, then the FV is not zero ?Thanks
swap: both parties have rights to cancel
??? It will be cancelled immediately after the lockout period; ie, on the first possible date (since at any given time, its value to the two counterparty's must sum to zero). So it's value at that time is the cancellation fee.