An Interest Rate Cap is (generally) an O.T.C. derivatives contract based on a series of European interest rate call options. It is used to protect an issuer of the foating-rate debt generated by interest rate increases. Each individual call option within the cap is called a caplet. We can have various type of Interest Rate Caps:
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A "basic" Interest Rate Cap written on a short-term interbank rate (e.g. EUR Euribor 6 Months).
Downloads: template, documentation.
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An Interest Rate Cap written on a CMS rate or a CMS spread (the differential between two CMS rates).
Dowloads: template, documentation.
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An Interest Rate Cap written on a short-term interbank rate (e.g. EUR Euribor 6 Months) with a knock-in option. In detail, a knock-in option under a trigger clause is an option contract in which the option holder receives an option conditional on the underlying rate breaching a certain trigger level (also called barrier level). Downloads: template, documentation.
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An Interest Rate Cap written on a short-term interbank rate (e.g. EUR Euribor 6 Months) with a knock-out option. In detail, a knock-in option under a trigger clause is an option contract in which the option holder receives an option conditional on the underlying rate breaching a certain trigger level (also called barrier level). Downloads: template, documentation. |
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