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ZENODO
Presentation . 2020
License: CC BY
Data sources: Datacite
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ZENODO
Other literature type . 2020
License: CC BY
Data sources: ZENODO
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A Description of Interest Rate Caps and Floors Valuation

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 08 Sep 2020 English Publisher:Zenodo
Authors: David Lee;

doi: 10.5281/zenodo.4019685

A Description of Interest Rate Caps and Floors Valuation

Abstract

An interest rate cap is an OTC derivative where the buyer receives payments at the end of each period when the interest rate exceeds the strike, whereas an interest rate floor is a similar contract where the buyer receives payments at the end of each period when the interest rate is below the strike. Caps and floors are widely used to hedge against interest rate fluctuations.

https://ia801404.us.archive.org/13/items/ir-cap-30/IrCap-30.pdf

Keywords

Interest rate cap, interest rate floor, caplet, floorlet, call option, put option, valuation, Black model

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