Model
The pricing of PRDCs used to be done using 3-factor grid/lattice or Monte Carlo models where one factor represents the short rate in currency1; the second factor the short rate in currency2; and the third factor the movement in the FX rate between currency1 and currency2.
Model choice for the interest rate factors varies - for speed reasons, popular choices are Hull-White model, Black-Karasinski model, and extended Cheyette model.
FX model choice also varies among houses - popular choices are Dupire-type local volatility models, stochastic SABR Volatility Models, or models which allow mixing of the two.
Nowadays, most dealers use a variant of the industry-standard LIBOR market model to price the PRDCs.
Read more about this topic: Power Reverse Dual Currency Note
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