Easy Way to Think about Caps, Floors, Swaptions - 【CFA学习交流讨论】 - CFA论坛

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发表于 2011-7-13 15:06 | 显示全部帖子

You have two years to cover

1 Year Call - Covers from 0---1
2 Year Call - Covers from 0---1---2

Thus, you are "protected" for 2 years based on the current rates.

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