Serving the Quantitative Finance Community
Option Type
I have a client that is trading some One-Look Cap/Floors.My understanding on how these are structured is that there is only one determination date hence (one look) to observe market reference rates, and then there is a Min/Max formula based off strike to determine PnL.Your determination date ie observation effectively becomes maturity date of the deal.Is the above a fair synopis of what the 'one look' is?Thanks