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BLOBY
Topic Author
Posts: 113
Joined: May 17th, 2004, 5:07 am

Cliquet Floor ?

May 13th, 2005, 9:12 am

How would you price this structure ?Investor receives CMS10Y + 150 bps (years 1 and 2), CMS10Y + 50 bps (years 3 to 10), and pay EUR3M + margin, wheremargin = 0 (years 1 and 2), margin = preceding margin + 3 x Max[ 2.50% – CMS10Y ; 0] (years 3 to 10)(quaterly, post fixed on CMS10Y).Thanks for your help.
 
User avatar
BLOBY
Topic Author
Posts: 113
Joined: May 17th, 2004, 5:07 am

Cliquet Floor ?

May 15th, 2005, 5:55 am

it's not a quote I need to do, but it's a structure that I see often, and especially for ALM demands.
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