Index


Key Index in
CapFloor refers to the floating rate index object of type Quotable.
The exact type must be either
Ibor Rate or OI Term Rate or Inflation Index
Its realized value I at the begining of each cash flow period (at the end in the case of OI Term Rate) is used to calculate the respective cash flow amount C according to the formula described in
CapFloor Type
The cash flow currency is assumed to be that of the index.