标题: Floating rate cap binomial method [打印本页] 作者: dandman 时间: 2011-7-13 16:17 标题: Floating rate cap binomial 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?作者: chandsingh 时间: 2011-7-13 16:17
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作者: Newhuman 时间: 2011-7-13 16:17
Thanks northeastern. Looks like you are all set.作者: WarrenB1 时间: 2011-7-13 16:17
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?作者: wxs1986 时间: 2011-7-13 16:17
