The Pricing of Interest Rate Derivatives: Caps/Floors and the Construction of the Yield Curve

Conference paper
Part of the Lecture Notes in Networks and Systems book series (LNNS, volume 37)

Abstract

The aim of this paper is to highlight the theoretical foundations of caps and floors that are distinguished among derivatives meeting the requirements of most investors in the financial sphere. Then, the key elements of the calculation were defined: the LIBOR rate and the forward rate. This paper focuses on the construction of the yield curve, a fundamental approach in the analysis of derivatives. After a description of the characteristics of these products, a keen interest was devoted to their valorisation by referring to the model of Black (1976).

Keywords

LIBOR rate Forward rate Black Cap Floor Caplet Floorlet Yield curve 

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Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  1. 1.Faculty of ScienceIbn Tofail UniversityKenitraMorocco
  2. 2.Faculty of Law, Economics and Social SciencesMohamed V UniversityRabatMorocco

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