Deriscope ## The Excel Derivatives Periscope

##### Coverage

CapFloor

*CapFloor* is a child type of Tradable that 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::CapFloor Type

The pricing methodology is specified in Model[CapFloor]

The following functions are also available within *CapFloor*:

CapFloor Functions