A discrete barrier option which places a barrier floor on its underlying movements. A discrete barrier floor is similar to a standard floor except that the payoff of its underlying floorlets is conditional on the event that previous spot LIBOR rates have or have not broken through a specific level, known as the barrier. This floor is characterized by a series of barriers and strikes. A given floorlet only pays out in case all previous spot LIBOR rates are above (down-and-in) or below (down-and-out) their barriers. The barrier condition is reviewed every fixing date, i.e., it is monitored only at discrete points in time.
Like a regular barrier floor, this barrier floor comes in two different types: down-and-in discrete barrier floor and down-and-out discrete barrier floor.
