(label: fixedIncome, finMath)
In my exam Prof Yuri asked about T-fwd measure and the choice of T.
I said T should match the date of cashflow. If a deal has multiple cashflow dates, then we would need a rolling fwd measure. See [[Hull]
However, for a standard swaption, I said we should use the expiry date of the option. The swap rate revealed on that date would be the underlier and assumed to follow a LogNormal distro under the chosen T-fwd measure.