Work

Capped FRN Swap Model

Year: 2022

Type: article

Abstract: 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.

Source: Zenodo (CERN European Organization for Nuclear Research)

DOI: 10.5281/zenodo.6558276

Author: Lee, David

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W6968933125

FWCI:

Cites:

Cited by:

Related to: