Capped FRN Swap Model

A model is presented for pricing European/Bermudan type callable capped floating rate note (FRN) swaps. The capped FRN swap is a contract to swap cash-flows between a vanilla floating rate leg and a capped floating rate leg. The option gives the right to call the swap back in favor of the option owner.

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2025-08-18
DOI
https://doi.org/10.5281/zenodo.16902742
Primary Topic
Pregnancy and preeclampsia studies
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Capped FRN Swap Model

Zenodo (CERN European Organization for Nuclear Research)
Pregnancy and preeclampsia studies
article

Capped FRN Swap Model

article en

Abstract

A model is presented for pricing European/Bermudan type callable capped floating rate note (FRN) swaps. The capped FRN swap is a contract to swap cash-flows between a vanilla floating rate leg and a capped floating rate leg. The option gives the right to call the swap back in favor of the option owner.

Zenodo (CERN European Organization for Nuclear Research)
Openalex Percentile: Top 36%
Pregnancy and preeclampsia studies
DOIOpen Access PDFOpenAlex
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.

Capped FRN Swap Model · Zenodo (CERN European Organization for Nuclear Research) (2025) | TGRS Research Map | TGRS