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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).

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).

An Interest Rate Collar is an instrument created to guarantee that the interest rate on the underlying floating rate always lies between a ceiling and a floor. It is a combination of a long position in a cap and a short position in a floor.

Variable Protected Differential IRS exchanges periodically two floating interest payments indexed to the 6-Months Euribor.

Range Accrual Interest Rate Swap is characterized by a Range Accrual clause on Party B floating payment.

Collar Interest Rate Swap is characterized, for Party A, by an outflow indexed to a short term rate (e.g. EUR 3-Months Euribor) plus a fixed component (spread) whose fluctuation is bounded within a minimum and maximum rate.

Path Dependent Interest Rate Swap is characterized, for Party A, by a path dependent option, an option whose value depends on the time sequence of values of the underlying rather than just its final value.

Sunrise Swap is characterized, for Party A, by alternative scenarios that depends on the short term rate (e.g. EUR 3-Months Euribor).

This tutorial shows how to use Fairmat Academic for Discounting a payoff. In particular how to calculate the spot price given the forward price.

This tutorial shows how to use Fairmat Academic for Interest Rate Swap (IRS) modelling, following John C. Hull "Options, futures and other derivatives" [Chapter 6, 5th Edition]. In particular how to calculate the convenience of an IRS, how to handle day conventions, how to calculate the expected value of a SWAP.