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- UID
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- 2011-7-11
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- 2014-7-31
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the reason why you discount an additional term is cause the option to exercise on a caplet occurs at expiry; so if you exercise at expiry, that means your expected payoff occurs at expiry + 1. so you discount that value back to 0, which will include 1 extra year
similar to an FRA
I think!! |
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发表于 2011-7-13 14:45
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