I am trying to understand the pricing of various types of swaptions.
Suppose I have a swap that starts in 3 months time. How would I go about pricing a swaption on this swap in the following cases:
1 Month option 2 Month option 3 Month option
I know the standard theory, which seems to let me price the swaption for a 3 month option. However I can't seem to figure out how to bring in the forward starting arrangement for the 1 and 2 month option.