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- UID
- 223405
- 帖子
- 284
- 主题
- 9
- 注册时间
- 2011-7-11
- 最后登录
- 2014-7-31
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Know how to value EACH caplet then sum to get the value of the cap. Same goes for floors. Simply use the same process when calculating interest rate binomials ie 50% probability of up and down.
(rate given - cap rate)X notional/1+one yr cap rate to get the 'terminal' value, the PV each back to the respective nodes.
Cap a portfolio of call options, Floor a portfolio of put options
Cap is also a portfolio of put options on bond PRICES an vice versa. |
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发表于 2011-7-13 13:47
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