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Derivatives




Deferred Cap


A cap (interest rate cap) which provides protection against interest rate upward fluctuations for a future period starting at some future date and ending at the expiration date of the cap. Such a structure is often used in matching the terms of a bond issue (e.g. a delayed cap floating rate note).

A deferred cap is a strip of caplets each of which is a call option on a forward rate (deferred caplets).



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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