A capped swap is an interest rate swap with a cap where the floating rate of the swap is capped at a certain level. It consists of a long position in a swap and a cap with a predetermined strike rate and maturity equal to swap’s maturity.https://ia801402.us.archive.org/10/items/ir-capped-swap-31/IrCappedSwap-31.pd
The outstanding face amount of plain vanilla interest rate swaps exceeds two trillion dollars. While...
A credit contingent interest rate swap is an option that grants its holder the right, but not the ob...
A range accrual swap is a swap where in the payoff is dependent on the reference rate falling within...
A capped swap is an interest rate swap with an interest rate cap option where the floating rate of t...
An interest rate swap is an agreement between two parties to exchange future interest rate payments ...
An interest rate cap is designed to provide insurance against the interest cap on an underlying floa...
A model is presented for pricing European/Bermudan type callable capped floating rate note (FRN) swa...
A basis swaps is an interest rate swap that involves the exchange of two floating rates, where the f...
CMS stands for constant maturity swap. A CMS cap/floor consist of a number of caplet/floorlet on the...
Cap consists of a portfolio of caplets. In market, a cap is quoted by implied volatilities rather th...
A ratchet swap is an interest rate swap with two legs. One leg is a standard floating leg and the ot...
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
An FX swap agreement is a contract in which both parties agree to exchange one currency for another...
Variable rate swap is a special type of interest rate swap in which one leg of the swap corresponds ...
A constant maturity swap (CMS) is an interest rate swap where floating rate equals the swap rate for...
The outstanding face amount of plain vanilla interest rate swaps exceeds two trillion dollars. While...
A credit contingent interest rate swap is an option that grants its holder the right, but not the ob...
A range accrual swap is a swap where in the payoff is dependent on the reference rate falling within...
A capped swap is an interest rate swap with an interest rate cap option where the floating rate of t...
An interest rate swap is an agreement between two parties to exchange future interest rate payments ...
An interest rate cap is designed to provide insurance against the interest cap on an underlying floa...
A model is presented for pricing European/Bermudan type callable capped floating rate note (FRN) swa...
A basis swaps is an interest rate swap that involves the exchange of two floating rates, where the f...
CMS stands for constant maturity swap. A CMS cap/floor consist of a number of caplet/floorlet on the...
Cap consists of a portfolio of caplets. In market, a cap is quoted by implied volatilities rather th...
A ratchet swap is an interest rate swap with two legs. One leg is a standard floating leg and the ot...
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
An FX swap agreement is a contract in which both parties agree to exchange one currency for another...
Variable rate swap is a special type of interest rate swap in which one leg of the swap corresponds ...
A constant maturity swap (CMS) is an interest rate swap where floating rate equals the swap rate for...
The outstanding face amount of plain vanilla interest rate swaps exceeds two trillion dollars. While...
A credit contingent interest rate swap is an option that grants its holder the right, but not the ob...
A range accrual swap is a swap where in the payoff is dependent on the reference rate falling within...
DOI
Add to ORKG
