Floating rate cap binomial method method

dandman

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?

chandsingh

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

Newhuman

Thanks northeastern. Looks like you are all set.

WarrenB1

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?

wxs1986

that sounds right