“…In this section, following Babbs 1990Babbs ,1994aBabbs ,1994b , we consider the numerical valuation of a cross-currency interest rate-sensitive 1 0 y ear di erential di swap deal with 3-monthly deferred payments in terms of current rate di erentials at successive intervals, together with the option to terminate the deal at payment dates at the cost of a penalty payment in foreign currency. The valuation of this multistage swap deal stretches current PDE and computer technology, i n v olving, as it does, three underlying correlated stochastic state variables, namely`domestic' and`foreign' rates and the exchange rate, plus the time variable, and with multiple decision points.…”