Arrear Cap Analytics

If the payoff of a caplet/floorlet is not paid at the end of underlying index period, it then belongs to the category of unconventional caplets/floorlets. A non-vanilla IR cap/floor is composed of a portfolio of unconventional IR caplets/floorlets. A special unconventional caplet/floorlet, which is called set-in-advance (or set-in-arrear)