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dandman

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tT
发表于 2011-7-13 16:17 | 只看该作者

Floating rate cap binomial method

method
Did any one solve a floating rate cap binomial method. Can you please give an example and solve it . Even if it is two nodes that is fine.

Is it just replace the cap rate with higher interest rate?
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chandsingh

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2#
发表于 2011-7-13 16:17 | 只看该作者
if its a capped floater and the IR is above the cap, replace the IR with the cap, calculate the interest and add it to get the node value

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Newhuman

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3#
发表于 2011-7-13 16:17 | 只看该作者
Thanks northeastern. Looks like you are all set.

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WarrenB1

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4#
发表于 2011-7-13 16:17 | 只看该作者
just out of curiosity

if they say it's callable "anytime"

does that mean if the final computed number is above the call price, then we use the call price in the final answer, right?

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wxs1986

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5#
发表于 2011-7-13 16:17 | 只看该作者
that sounds right

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