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Cap Floor Calculator

With the Cap Floor Calculator, you can calculate interest caps and interest floors for derivatives. Interest caps and interest floors are interest derivatives with an optional character. For an interest cap, the buyer receives a payment at the end of each period in which the interest rate exceeds the agreed strike price. For an interest floor, the buyer receives a payment at the end of each period in which the interest rate is below the agreed strike price.

"General Contract Data" area

ElementDescription
Issue dateUse the integrated calendar to select the issue date.
Strike priceEnter the strike price.
Option model

Select the option model for the calculation. The following models are available:

  • Bachelier (default setting)
  • Black 76
Volatility in BPEnter the volatility in basis points.
Cap floor typeSelect the type for the calculation, that is, cap or floor.
"Fixed" area

ElementDescription
Nominal value

Enter the (fixed) nominal value for the calculation.

The nominal value for "Fixed" and "Floating" remains unchanged.

Currency

Selet the (fixed) currency for the calculation.

The currency for "Fixed" and "Floating" remains unchanged.

Value/
Term from

Use the integrated calender to specify the start date of the calculation.

The current date is set by default.

Term to

Use the integrated calender to specify the end date of the calculation.

The default setting is the current date plus 10 years.

Payment frequency

Select the payment frequency for the fixed interest payment. The following periods are available:

  • Monthly
  • Quarterly
  • 4-monthly
  • Yearly (defalut setting)
Day count convention

Select the day count convention for the fixed interest payment. The following periods are available for the day count convention:

  • German 30/360
  • German 30/365
  • French ACT/360
  • English ACT/360
  • act/act (ISMA) (default)
  • ISMA 30E/360
"Floating" area

ElementDescription
Nominal amount

The nominal amount value of the calculation.

Currency

The currency of the calculation.

The currency for "Fixed" and "Floating" remains unchanged.

Value date

The value date determined from the start date.

The current date is set by default.

Term to

The end date selected in the "Fixed" area of the calculation.

The default setting is the current date plus 10 years.

Payment frequency

The payment frequency selected in the "Fixed" area.

Day count convention

The day count convention selected in the "Fixed" area.

"Valuation" area

ElementDescription
Premium amountThe resulting amount of the premium. The value is immediately calculated after you change the parameter.

In the Widget Gallery, you find the "Cap Floor Calculator" widget in the "Calculators" section of the "Other" category.

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