Callable Inverse Floater (IR) Representation via FPML

[amitmerla]

My Payout formula is: Min(MaxCoupon,Max(MinCoupon,FixedRate – Index * Gearing)) Anyone know where can I Represent the Min & Max Coupons?

[h_mcallister]

If I understand correctly, you have a geared inverse floating payout, capped and floored at MaxCoupon and MinCoupon respectively. Let’s assume the following values for the purpose of this illustration: Index = 3M USD Libor BBA FixedRate = 8.5% MaxCoupon = 7.5% MinCoupon = 1.5% Gearing = 2.0 Then the following xml fragment shows how these values are deployed within calculationPeriodAmount: 100000000 USD USD-LIBOR-BBA 3 M -2.0 0.085 0.075 0.015 ACT/360

[Author]

Posts