• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Floater with gearing/factor

Jvm

Joined
8/25/20
Messages
2
Points
11
Hi,
if we have a floater referencing the 3M EURIBOR and the floater has the coupon formula: Factor * 3M EURIBOR + Spread, is it then correct to use just calculate the forward rate, multiply this by the factor and add the spread? Or does one need more sophisticated models for this?
 
Generally yes but is there any optionality in your floater? Some hidden ones such as coupon floor or ceiling also count
 
I would be interested in both:
- a plain vanilla floater with such formula
- a floater with such formula having a cap and a floor
 
Back
Top