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Caps/floors are a series of caplets/floorlets (basically call/put options) on something like an interest rate or inflation rate.
Pricing is discussed in detail in Interest Rate Models by Brigo and Mercurio.
The text was updated successfully, but these errors were encountered:
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Caps/floors are a series of caplets/floorlets (basically call/put options) on something like an interest rate or inflation rate.
Pricing is discussed in detail in Interest Rate Models by Brigo and Mercurio.
The text was updated successfully, but these errors were encountered: