Derivatives
Floortion
September 14, 2021
Derivatives
European Parisian Option
September 15, 2021

One put option in a floor. In other words, a floorlet is one put option in a series of sequentially maturing European-style put options which provides the buying holder with protection against a fall in a floating interest rate below a prespecified level (the strike).

With a floorlet, the holder has the right to receive one payment equal to the difference between the market interest rate and the floorlet’s strike on one of the reset dates.

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