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Interest Rate Capped Swap Pricing and Valuation

Published on June 2018 | Categories: Finance | Downloads: 6 | Comments: 0
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A capped swap is an interest rate swap with an interest rate cap option where the floating rate of the swap is capped at a certain level while a floored swap is an interest rate swap with a floor option where the floating rate of the swap is floored at a certain level. Capped swaps or floored swaps limit the risk of the floating rate payer or receiver to adverse movements in interest rates. This presentation gives an overview of capped/floored swap product and valuation. You find more information at http://www.finpricing.com/lib/IrCappedSwap.html

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A capped swap is an interest rate swap with an interest rate cap option where the floating rate of the swap is capped at a certain level while a floored swap is an interest rate swap with a floor option where the floating rate of the swap is floored at a certain level. Capped swaps or floored swaps limit the risk of the floating rate payer or receiver to adverse movements in interest rates. This presentation gives an overview of capped/floored swap product and valuation. You find more information at http://www.finpricing.com/lib/IrCappedSwap.html

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