Capped FRN Swap Valuation

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.

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Publication Details

Journal
Knowledge Commons (Lakehead University)
Published
2025-09-09
DOI
https://doi.org/10.17613/60743-sjb49
Primary Topic
Geochemistry and Geologic Mapping
Type
article
Field-Weighted Citation Impact
0.00
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article

Capped FRN Swap Valuation

Knowledge Commons (Lakehead University)
Geochemistry and Geologic Mapping
article

Capped FRN Swap Valuation

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.

Knowledge Commons (Lakehead University)
RBC Technologies (United States) (US)
Openalex Percentile: Top 47%
Geochemistry and Geologic Mapping
DOIOpen Access PDFOpenAlex
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Capped FRN Swap Valuation · Knowledge Commons (Lakehead University) (2025) | TGRS Research Map | TGRS