Previous Topic

Next Topic

Caps, Floors, Collars - Custom Template

Component

Resolution - IRO Pricing

Brief

Use this template to value a non-vanilla interest rate cap, floor or collar

Caps, Floors, Collars - Custom

Worksheet

Description

.

Cap Floor Collar

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

Functions Used

oIRcap2_Price

Deal Map

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

Functions Used

oIRcap2_CFM

Volatility Curve

This sheet contains the volatility curve input.

Zero Curve

This sheet contains the zero curve and holidays list.

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.