average rate cap

quentin · February 23rd, 2009, 7:33 am

Hi,where can I find termsheets or research papers about average interest rate caps?They are options on the average of LIBORS, I am particularly interested in knowing the conventions to pick up the fixing dates (once per day, per week...)

manikm · March 11th, 2009, 6:11 am

I would also be interested in getting some links for the same....Quentin , do you trade (or plan to trade) similar instruments?If so I would love to have some info on what models you use ...., thanks ...