0
$\begingroup$

Typically when I talk about the Swaption contract, we basically fix the Currency and let the Interest rate as the key risk factor. And there are many valuation formulas available to value such contract.

Now let say, there is an Option contract which entitles the investor to start a Currency Swaps to exchange Yen and USD at some future date. All underlying terms like principals, coupon rate etc. are defined for that Currency-Swap.

I am looking for some standard pricing formula to value such Option on Currency Swap.

Any idea how to value such options will be highly appreciated.

Appreciate for any pointer.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.