|
- UID
- 223400
- 帖子
- 317
- 主题
- 11
- 注册时间
- 2011-7-11
- 最后登录
- 2014-8-2
|
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) |
|
发表于 2011-7-13 14:30
|