Published August 18, 2025
| Version v2
Presentation
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Capped FRN Swap Model
Authors/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://zenodo.org/record/6539656/files/zenodo-pp-note.pdf
Files
CappedFrn.pdf
Files
(209.2 kB)
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Additional details
Dates
- Other
-
2025-08-19
Software
- Repository URL
- https://zenodo.org/records/16895752/files/ChtSwap.pdf