An Interest Rate Floor is (generally) an O.T.C. derivative contract based on a series of European interest rate put options. This interest rate sensitive instrument protects the floor buyer from losses resulting from a decrease in interest rates. The floor seller compensates the buyer with a payoff when the reference interest rate falls below the floor strike rate. We can have various type of Interest Rate Floors: -
A "basic" Interest Rate Floor written on a short-term interbank rate (e.g. EUR Euribor 6 Months).
Downloads: template, documentation.
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An Interest Rate Floor 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 Floor 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 Floor 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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