CapFloor


CapFloor is a direct subtype of Tradable
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with functions CapFloor Functions, keys CapFloor keys and example object CapFlr

TYPE INCLUSION RELATIONSHIPS

Tradable

CapFloor

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AVAILABLE FUNCTIONS

ATM Rate

Create

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AVAILABLE CREATE FUNCTION KEYS

Cap Strike

CapFloor Type

Fixing Days

Floor Strike

Index

Indexed Coupon

Notional

Observ Lag

Schedule

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TYPICAL OBJECTS OF TYPE CapFloor

CapFlr

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This type represents a cap or floor or collar on some specified underlying index.
The referenced index can be either an ibor interest rate represented by Ibor Rate or a year-on-year inflation index represented by Inflation Index
The cap is a series of caplets, where each caplet is effectively a call option on the underlying index with the strike K being the same for all caplets.
The floor is a series of floorlets, where each floorlet is effectively a put option on the underlying index with the strike K being the the same for all caplets.
The collar is simply the difference cap - floor, i.e. a portfolio consisting of a long cap and a short floor.
The exact payoff definition is described at CapFloor Type
The pricing methodology is specified in Model[CapFloor]