Digital lookback pay off - wilmott.com

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JojoLeBarjo: Posts: 0; Joined: July 16th, 2004, 2:52 pm

Digital lookback pay off

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#1

June 1st, 2005, 2:33 pm

Hi there,Can anyone give ideas :Every year, payment of :pay off = number of days where CMS 10 years >CMS 2 years / 365


exotiq: Posts: 2; Joined: October 13th, 2003, 3:45 pm

Digital lookback pay off

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#2

June 1st, 2005, 6:18 pm

Sure, don't call it a "digital lookback" call it a "range accrual", "spread accrual", or "digital pair accrual".