Schweser " the floor pays off in arrears ", I just found that out, so to the value of a floor at year 2, we get the payoff and discount it back one year??????????????????
CFAI doesn't have us calculate that way, even though that's how it's done. For caps/floors, all I remember is discounting the last node by the rate in the same box.
发表于 2011-7-13 17:02
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