wilmott.com

Posted: **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

Posted: **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".

Digital lookback pay off