From: Model order reduction for the simulation of parametric interest rate models in financial risk analysis
Coupon frequency
quarterly
Cap rate, \(C_{R}\)
2.25 % p.a.
Floor rate, \(F_{R}\)
0.5 % p.a.
Currency
EURO
Maturity
10 years
Nominal amount
1.0
b
0.015
σ
0.006