wilmott.com

I am looking for a way to price this:The security is a 2-year note that pays annual coupon coupon at a fixed rate, and par at maturity.On the same date every month, the fixing of a currency pair (e.g., USD/CHF) is observed, say X1. This is used to set the "band", e.g. X1 +/- 0.2000 for the next fixing X2, which now becomes the centre of the band for X3, and so on.The band width is constant throught the 12 months of each year, but the band width for Year 2 is slightly wider (e.g., +/- 0.2000 for Year 1 and +/- 0.2400 for Year 2)For each of the year, if any of the fixings X1, X2, ..., X12 breaches the band, the coupon for that year becomes zero (the note pays nothing for that year)It looks a little like a double knock-out option, but hitting one monthly fixing barrier is enough to wipe out the entire coupon. The setting of exact "barrier levels" based on the most recent fixing also complicates matter I think.Any idea on how to proceed will be appreciated.

I meant double no-touch, not double knock-out