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标题: Interest Rate Option [打印本页]

作者: dandman 时间: 2011-7-13 14:30 标题: Interest Rate Option

What's the difference between a IR Cap and IR call?

作者: needhelp1700 时间: 2011-7-13 14:30

nothing, they are one in the same

作者: CPATrader 时间: 2011-7-13 14:30

thanks, so just to be thorough, they are priced the same way?

作者: jarobi04 时间: 2011-7-13 14:30

essentially yes: (IR Rate - Cap/Call Rate)(n/360)(notional amount)

(Floor/Put Rate - IR Rate)(n/360)(notional)

**with caplets and floorlets, since they pay in arrears, discount the above results by (1+rate)

作者: Kapie 时间: 2011-7-13 14:30

Thanks a lot, any nice explanation for my question on Eurodollar Futures?

作者: yospaghetti 时间: 2011-7-13 14:31

can u post it here, i dont see it

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