The Excel Derivatives Periscope



FloatFloat IRS is a child type of Swap that represents an interest rate swap whereby a certain interest rate is exchanged for another interest rate in regular time intervals until the swap's maturity.
Each interest rate may be either an
Ibor Rate or a Swap Rate
In formal terms:
Each floating payment equals:
where R refers to the final bounded rate defined as R = min(max(r,f),c), where f, c are the entries in Floors 1, Caps 1 respectively.
Further on, N, g, s are the entries in Notionals 1, Gearings 1, Spreads 1 respectively (for the first leg and similarly for the second leg) and Δt is the length of the respective accrual period.
The cash flow currency is assumed to be that of the respective index.

The pricing methodology is specified in
Model[FloatFloat IRS]