Published April 22, 2022
| Version v2
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Capped Swap Explained
Description
A capped swap is an interest rate swap with a cap where the floating rate of the swap is capped at a certain level. It consists of a long position in a swap and a cap with a predetermined strike rate and maturity equal to swap’s maturity.
Notes
https://ia801402.us.archive.org/10/items/ir-capped-swap-31/IrCappedSwap-31.pdf
Files
Zenodo-IrCappedSwap.pdf
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