Published April 20, 2022
| Version v2
Presentation
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Cap Floor Explained
Description
An interest rate cap is designed to provide insurance against the interest cap on an underlying floating-rate note rising above a certain level (cap rate), and is modelled as a portfolio of European interest rate call options (caplets).
Notes
https://ia801404.us.archive.org/13/items/ir-cap-30/IrCap-30.pdf
Files
Zenodo-IrCap.pdf
Files
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