PelatihAn inflation cap is a strip of options each paying at : a cap on year-on-year inflation, with floors (the deflation floor of One Quant Book 2, chapter 11, for the zero-coupon case) defined likewise.
Contoh
Example 11.9 (A ten-year cap and floor)
On the sterling curves, a year-on-year cap at 5% on years two to ten costs 181.1 basis points of notional; a floor at 0% costs 45.8.