Table 3 Numerical Example of a floater with cap and floor
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 |
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 |