How I could modeling a break forward or cancelable forward? Could I use Swaption model or only by montecarlo simulation?

I have (X-F) for 2Y but I have option to cancel in 0,5Y by a premium price

  • $\begingroup$ Is it cancellable by one or both parties, and at what level is it cancelled? $\endgroup$ – will Aug 2 '19 at 22:15
  • $\begingroup$ Only one partie, this contract is cancel if (X-F +Premium )<0 at option expire and pay Premium by do it. $\endgroup$ – user42066 Aug 2 '19 at 22:25
  • 3
    $\begingroup$ It sounds like it's just an option then. Price it using black. $\endgroup$ – will Aug 3 '19 at 7:37
  • $\begingroup$ Yes, I have done that, NDF(Time=2y) + black option(time=0,25y). However, when I try to compare with montecarlo simulation, I got a different result. When I use the same time, both 2y or 0,25 y my montecarlo is equal NDF + black76 opption, however when I change time expiration, alwalys I have different values. $\endgroup$ – user42066 Aug 5 '19 at 12:03

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