Published May 17, 2022
| Version v1
Presentation
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Capped FRN Swap Model
Creators
Description
A model is presented for pricing European/Bermudan type callable capped floating rate note (FRN) swaps. The capped FRN swap is a contract to swap cash-flows between a vanilla floating rate leg and a capped floating rate leg. The option gives the right to call the swap back in favor of the option owner.
Notes
https://osf.io/37fbt/download
Files
CappedFrn.pdf
Files
(109.8 kB)
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