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1

You might want to refer to this blog page. I didn't know the swap method but what is described at this link seems a good approximation. Of course you will need quite a lot of inputs. The problem of the libor that has already fixed is treated too. https://alluve.wordpress.com/2010/04/10/cva-calculation-example/


0

The Black 76 swaption formula works for all these cases. The expiration time T= 1mo, 2mo or 3mo but the forward rate of the swap is the same in each case. The market will place different implied volatilities on these 3 options, according to the expectations of realized volatility in these 3 time periods.



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