CapFloor__CapFloor_Type

Available

Corresponds to the usual "Cap", i.e. a series of cash flows, where the effective rate

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.

Equivalent to

Corresponds to the usual "Floor", i.e. a series of cash flows, where the effective rate

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.