Amortizing and Accreting Caps and Floors Valuation

An amortizing cap is an interest rate cap whose notional principal amount declines during the life of the contract whereas an accreting cap is an interest rate cap whose notional principal amount increases during the life of the contract. Similarly, an amortizing floor is an interest rate floor whose notional principal amount declines during the life of the contract whereas an accreting floor is an interest rate floor whose notional principal amount increases during the life of the contract.