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Derivatives




Moving Average Cap


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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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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