Floor


Key Floor in
CMS Rate Bond refers to the 1D-array of minimum values that the floating rate index I is allowed to assume for the purpose of evaluating the respective coupon amount.
If only one value is provided, then all coupons share that single value.
If N values are provided, then the first N coupons are paired with the N values in successive order, while the remaining coupons use the last value.
More details at
Index