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- 2011-7-2
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- 2014-6-29
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There are 4 components to this structure:
A long fixed coupon bond ( receiving x)
A short inverse floater (paying a - LIBOR)
A swap to pay LIBOR and receive the swap rate
A long interest rate cap on LIBOR to offset the implicit short call in the guarantee to pay a non-negative rate on the inverse floater in case LIBOR exceeds 'a'
Net cash flow = x - (a - LIBOR) - LIBOR + swap rate = x - a + swap rate |
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发表于 2011-7-11 19:46
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