Amortizing - PowerPoint PPT Presentation

Amortizing and Accreting Caps and Floors Introduction and Valuation

An amortizing cap is an interest rate cap whose notional principal amount declines during the life of the contract whereas an accreting cap is an interest rate cap whose notional principal amount increases during the life of the contract. Similarly, an amortizing floor is an interest rate floor whose notional principal amount declines during the life of the contract whereas an accreting floor is an interest rate floor whose notional principal amount increases during the life of the contract. This presentation gives an overview of amortizing and accreting cap and floor products and valuation model. You can find more information at http://www.finpricing.com/lib/IrAmortizingCap.html

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