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
| Element | Description |
|---|---|
| Issue date | Use the integrated calendar to select the issue date. |
| Strike price | Enter the strike price. |
| Option model | Select the option model for the calculation. The following models are available:
|
| Volatility in BP | Enter the volatility in basis points. |
| Cap floor type | Select the type for the calculation, that is, cap or floor. |
"Fixed" area
| Element | Description |
|---|---|
| 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:
|
| Day count convention | Select the day count convention for the fixed interest payment. The following periods are available for the day count convention:
|
"Floating" area
| Element | Description |
|---|---|
| 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
| Element | Description |
|---|---|
| Premium amount | The 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.