Relationship With Caps and Floors
European Put options on zero coupon bonds can be seen to be equivalent to suitable caplets, i.e. interest rate cap components, whereas call options can be seen to be equivalent to suitable floorlets, i.e. components of interest rate floors. See for example Brigo and Mercurio (2001), who also discuss bond options valuation with different models.
Read more about this topic: Bond Option
Famous quotes containing the words relationship with, relationship, caps and/or floors:
“I began to expand my personal service in the church, and to search more diligently for a closer relationship with God among my different business, professional and political interests.”
—Jimmy Carter (James Earl Carter, Jr.)
“Artists have a double relationship towards nature: they are her master and her slave at the same time. They are her slave in so far as they must work with means of this world so as to be understood; her master in so far as they subject these means to their higher goals and make them subservient to them.”
—Johann Wolfgang Von Goethe (1749–1832)
“... people were so ridiculous with their illusions, carrying their fools’ caps unawares, thinking their own lies opaque while everybody else’s were transparent, making themselves exceptions to everything, as if when all the world looked yellow under a lamp they alone were rosy.”
—George Eliot [Mary Ann (or Marian)
“your bare feet on the floors of silence
speak in rhymed stanzas to the furniture,
solemn chests of drawers and heavy chairs
blinking in the sun you have let in!”
—Denise Levertov (b. 1923)