Derivatives

Moving Average Cap

February 13, 2021
Exchanges

Elephant

February 13, 2021

Share

An interest rate floor whose payout (payoff) is calculated using a moving average interest rate within a specified interval. The payoff depends on the minimum 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 floor- an example.

Leave a Reply

Related Tags

All Topics in the Letter