Right of first refusal pricing

Lorrian and Michel,

The Rofr option, which grants the shipper the right to lock in the
transportation rate (max rate) for next
a few years, is priced as a spread swaption.

I priced two scenarios for you: the strip starts 1) Nov.1-00 and 2)Nov. 1-01.
For the first one I assume that the shipper makes decision on Oct. 31,00 (54
days to maturity)
and on Oct. 31,01(419 days to maturity) for the second case.

The second case has longer time to expiration, therefore larger option time
value. See the attached
spreadsheets for more detail.

Let me know if you have any questions.

Zimin