An interest rate cap is an OTC derivative where the buyer receives payments at the end of each period when the interest rate exceeds the strike, whereas an interest rate floor is a similar contract where the buyer receives payments at the end of each period...
More
An interest rate cap is an OTC derivative where the buyer receives payments at the end of each period when the interest rate exceeds the strike, whereas an interest rate floor is a similar contract where the buyer receives payments at the end of each period when the interest rate is below the strike. This presentation gives an overview of interest rate cap and floor products and valuation model. You can find more information at http://www.finpricing.com/lib/IrCap.html
Less
