A model is presented for pricing European/Bermudan type callable capped floating rate note (FRN) swaps. The capped FRN swap is a contract to swap cash-flows between a vanilla floating rate leg and a capped floating rate leg. The option gives the right to call the swap back in favor of the option owner.https://osf.io/37fbt/downloa
A target accumulated redemption note (TARN) is a structured coupon bond that will be compulsively te...
A cancelable swap consists of a vanilla swap and a Bermudan option to cancel the remaining swap. The...
An interest rate swaption or interest rate European swaption is an OTC option that grants its owner ...
A Cross-currency basis swap, which is also called FX basis swap, is a contract between two parties t...
A capped swap is an interest rate swap with an interest rate cap option where the floating rate of t...
An interest rate Bermudan swaption gives the holder the right but not the obligation to enter an int...
A Cross Currency European Swaption is a European Swaption to enter into a swap to exchange cash flow...
A capped swap is an interest rate swap with a cap where the floating rate of the swap is capped at a...
A single currency BMA Ratio Swap is a swap contract with two legs. The BMA leg pays the average of w...
Variable rate swap is an interest rate swap that has two legs: one fixed rate leg and a variable rat...
A cancelable swap provides the right but not the obligation to cancel the interest rate swap at pred...
An interest rate swap is an agreement between two parties to exchange future interest rate payments ...
As European and Bermudan options are standard products, a so-called k-out-of-n (or simply (k/n)-) Be...
A commodity futures (contract) swap (CFS) is a linear portfolio of forward contracts on commodity fu...
A commodity futures swaption (CFSn) is a linear portfolio of options on FCCF. Hence it suffices to c...
A target accumulated redemption note (TARN) is a structured coupon bond that will be compulsively te...
A cancelable swap consists of a vanilla swap and a Bermudan option to cancel the remaining swap. The...
An interest rate swaption or interest rate European swaption is an OTC option that grants its owner ...
A Cross-currency basis swap, which is also called FX basis swap, is a contract between two parties t...
A capped swap is an interest rate swap with an interest rate cap option where the floating rate of t...
An interest rate Bermudan swaption gives the holder the right but not the obligation to enter an int...
A Cross Currency European Swaption is a European Swaption to enter into a swap to exchange cash flow...
A capped swap is an interest rate swap with a cap where the floating rate of the swap is capped at a...
A single currency BMA Ratio Swap is a swap contract with two legs. The BMA leg pays the average of w...
Variable rate swap is an interest rate swap that has two legs: one fixed rate leg and a variable rat...
A cancelable swap provides the right but not the obligation to cancel the interest rate swap at pred...
An interest rate swap is an agreement between two parties to exchange future interest rate payments ...
As European and Bermudan options are standard products, a so-called k-out-of-n (or simply (k/n)-) Be...
A commodity futures (contract) swap (CFS) is a linear portfolio of forward contracts on commodity fu...
A commodity futures swaption (CFSn) is a linear portfolio of options on FCCF. Hence it suffices to c...
A target accumulated redemption note (TARN) is a structured coupon bond that will be compulsively te...
A cancelable swap consists of a vanilla swap and a Bermudan option to cancel the remaining swap. The...
An interest rate swaption or interest rate European swaption is an OTC option that grants its owner ...
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