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CapFloor__CapFloor_Type

CapFloor Type refers to List of the possible imbedded option types from the point of view of the owner of the CapFloor financial product.
Available CapFloor Type types:
Cap
Corresponds to the usual "Cap", i.e. a series of cash flows, where the effective rate R determining each cash flow amount, is defined as R = max(I-K,0), where I is the agreed reference index - typically Libor - and K some constant referred to as strike.
For example, a Libor-based Cap consisting of 3 cash flow periods with strike = 4% and Libor rate at each period being 3%, 4% and 5% respectively, would pay its holder amounts based on the effective rates 0%, 0% and 1% respectively.
This is equivalent to holding a series of call options on the underlying reference index.
Collar
Equivalent to Cap - Floor, i.e. to a portfolio consisting of a long Cap and a short Floor position.
Floor
Corresponds to the usual "Floor", i.e. a series of cash flows, where the effective rate R determining each cash flow amount is defined as R = max(K-I,0), where I is the agreed reference index - typically Libor - and K some constant referred to as strike.
For example, a Libor-based Floor consisting of 3 cash flow periods with strike = 4% and Libor rate at each period being 3%, 4% and 5% respectively, would pay its holder amounts based on the effective rates 1%, 0% and 0% respectively.
This is equivalent to holding a series of put options on the underlying reference index.