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Barrier Caps and Floors - Vanilla Template

Component

Resolution - IRO Pricing

Brief

Use this template to value an at-expiry vanilla interest rate barrier cap, floor or collar. Both single and double barrier options are supported.

Barrier Caps and Floors - Vanilla

Worksheet

Description

.

Cap Or Floor

This sheet contains the input parameters and the results of the valuation.

Functions Used

oIRbarrier1_Price

Deal Map

This sheet contains a detailed breakdown of the cashflows for the deal.

Functions Used

oIRbarrier1_CFM

Zero Curve

This sheet contains the zero curve and holidays list.

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