<t>I doubt that this could become really vanilla in its constituent parts but[Not enough detail about (3): What if top up was 10mn and the next year L<y% (ie, 2 x 6 month periods), does the counterparty get 20ml and the notional is -10mn?]Anyway, try decomposing by (L=Libor)Notional*Max(0, (L-y))/(L...