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Interest Rates > Cap/Floor/Collar

IR Collar on IBOR

Trade Type: CapFloor
Trade Components: Leg Data with Leg Type Floating
Schedule Data

A single standalone floating leg with interest payments benchmarked to IBOR or CMS indices, may have a cap, floor, or collar. This creates a series of European interest rate options (caplets or floorlets) where the cap or floor rate is the strike price, and each floating rate reset date is an option expiry date.

This example is a USD Libor 3M Index, with a collar consisting of a 4% cap and a 1% floor. It uses trade type “CapFloor” which is to be used for standalone capped, floored or collared legs.

IR Cap on IBOR, amortising

Trade Type: CapFloor
Trade Components: Leg Data with Leg Type Floating
Schedule Data

A single standalone floating leg with interest payments benchmarked to IBOR or CMS indices, may have a cap, floor, or collar. This creates a series of European interest rate options (caplets or floorlets) where the cap or floor rate is the strike price, and each floating rate reset date is an option expiry date.

This example is a GBP Libor 3M Index, capped at 2.5%, with an amortising notional. It uses trade type “CapFloor” which is to be used for standalone capped, floored or collared legs.

IR Cap on CMS

Trade Type: CapFloor
Trade Components: Leg Data with Leg Type CMS
Schedule Data

A single standalone floating leg with interest payments benchmarked to IBOR or CMS indices, may have a cap, floor, or collar. This creates a series of European interest rate options (caplets or floorlets) where the cap or floor rate is the strike price, and each floating rate reset date is an option expiry date.

This example is a semi-annual 30Y EUR CMS Index, capped at 4%. It uses trade type “CapFloor” which is to be used for standalone capped, floored or collared legs.