Are there any books or papers that run through practical examples of Mid-Curve Swaption pricing, and their liquidity in the market? So I can match the theory to the practical. Thanks.
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For swaptions in general see this post https://quant.stackexchange.com/questions/28108/swaption-pricing Then see this post "A swaption in which the underlying swap starts at a date materially after the expiration date is called a midcurve swaption" https://quant.stackexchange.com/questions/28302/volatility-of-a-mid-curve-option – nbbo2 Aug 06 '23 at 09:57