How would one price a single look constant maturity swap forward rate agreement?
The single look FRA is fixed in arrear, therefore the CMS rate is observed and payment typically occurs 2 business days following the fixing.
In the implementation for SABR replication pricing of a CMS period, the eta value takes the year fraction between the payment date and the swap start date. However the swap start date would equal the payment date, as the fixing would observe a spot swap rate which starts in 2 BD, therefore eta would be 0. Additionally, for the single look CMS FRA there is no accrual period so the start and end date are the same date which is not allowed.
How would one model and price this product?