Derivatives

Moving Strike Option

February 13, 2021
Derivatives

Moving Average Floor

February 13, 2021

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An interest rate cap whose payout (payoff) is calculated using a moving average interest rate within a specified interval. The payoff depends on the maximum of reference rate averages calculated over the so-called window periods. However, there is only one payment at maturity because of the averaging technique.

For more, see: moving average cap- an example.

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