Derivatives

Deferred Cap

February 7, 2023
Derivatives

PA Spot Delta

February 8, 2023

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A floor (interest rate floor) which provides protection against interest rate downward fluctuations for a future period starting at some future date and ending at the expiration date of the floor.

A deferred floor is a strip of floorlets each of which is a put option on a forward rate (deferred floorlets).

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