an interest rate cap is a type of interest rate derivative in which the buyer receives payments at the end of each period in which the interest rate exceeds...

movement of the underlying interest rate index. Examples of non-linear IRDs are; swaptions, interest rate caps and floors and constant maturity swaps (CMSs)...

are for pricing options on future contracts, bond options, interest rate cap and floors, and swaptions. It was first presented in a paper written by Fischer...

Equity swap Eurodollar FTSE MTIRS Index Inflation derivative Interest rate cap and floor Swap rate Total return swap "OTC derivatives statistics at end-December...

instrument (e.g. a stock or a bond), a price index, a currency, or an interest rate. Derivatives can be used to insure against price movements (hedging)...

or Australia, but a 25 percent tax rebate and absence of an interest rate cap and floor made the filmmakers seek the cheaper New Mexico, because of their...

A variable-rate mortgage, adjustable-rate mortgage (ARM), or tracker mortgage is a mortgage loan with the interest rate on the note periodically adjusted...

also called the "Fed put" Married put Credit default option Interest rate cap and floor Options on futures Real option Matthias Burghardt; Marcel Czink;...

Bond option Credit default option Exotic interest rate option Foreign exchange option Interest rate cap and floor Options on futures Rainbow option Real...

options and swaptions are equatable.) See further under Swap (finance) § Using bond prices. The difference between the Interest rate cap and floor values...

An interest rate ceiling (also known as an interest rate cap) is a regulatory measure that prevents banks or other financial institutions from charging...

swaptions, (i.e. options on swaps), and interest rate cap and floors (effectively options on the interest rate). The final four are numerical methods...

Eurodollar futures Interest rate swaps Swaptions Overnight indexed swaps, e.g. Libor–OIS spread Interest rate options, Interest rate cap and floor Commercial...

structured collar describes an interest rate derivative product consisting of a straightforward cap, and an enhanced floor. The enhancement consists of...

value and characteristics of one or more underlying entities such as an asset, index, or interest rate. They can be exchange-traded derivatives and over-the-counter...

conversions, interest rate swaps, interest rate caps and floors, and commodity swaps. To help borrowers protect against catastrophes and other special...

and is measure-independent. Because interest rate caps/floors are equivalent to bond puts and calls respectively, the above analysis shows that caps and...

monthly, the inflation rate used is still the year-on-year rate. Options on inflation including interest rate cap and floors and straddles can also be...

interest rate caps and floors using the Hull–White model". Advance Strategies in Risk Management. 1990. "A theory of the term structure of interest rates"...

swaptions (i.e. options on swaps), and interest rate cap and floors (effectively options on the interest rate) various short-rate models have been developed (applicable...

Covered call Credit default option Exotic interest rate option Foreign exchange option Interest rate cap and floor Married put Moneyness Naked call Naked...

and generally offer fixed rates of return. The rates are typically based on the current interest rate environment. They are offered by licensed and regulated...

A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing...

induce any investors to hold it. In practice, to infer the risk-free interest rate in a particular currency, market participants often choose the yield...

be computed by taking its set stated rate and subtracting the reference rate at the reset date. Caps and floors are often placed within inverse floaters...

floor; in that season. the cap was 900 million rubles ($US 12.0 million at then-prevailing exchange rates) and the floor was 270 million rubles (roughly...

of interest rates. It is used for pricing interest rate derivatives, especially exotic derivatives like Bermudan swaptions, ratchet caps and floors, target...

2005 and 2006. Cap and Share calls for fossil fuel production to be capped at its current level and then diminished year by year at a rate fast enough to...

asset swap. Perpetual notes (PRN) Variable rate notes (VRN) Structured FRN Reverse FRN Capped FRN Floored FRN Collared FRN Step up recovery FRN (SURF)...

consumers to build a continuing balance of debt, subject to interest being charged at a specific rate. A credit card also differs from a charge card in that...