Skip to main content

Cap Floors (CAPFL)

Description​

Interest rate option expressed in a maximum or minimum interest rate.

Real-world Instrument Examples (but not limited to)​

Caps and Floor options.

Required Terms​

  • contractDealDate
  • contractID
  • contractRole
  • contractStructure
  • contractType
  • counterpartyID
  • creatorID
  • statusDate

Conditional Groups​

Group 5​

  • Drivers: purchaseDate
  • Required if triggered: priceAtPurchaseDate
  • Optional: None

Group 6​

  • Drivers: terminationDate
  • Required if triggered: priceAtTerminationDate
  • Optional: None

Group 7​

  • Drivers: None
  • Required if triggered: None
  • Optional: lifeCap, lifeFloor

Standalone Optional Terms​

  • contractPerformance
  • delinquencyPeriod
  • delinquencyRate
  • gracePeriod
  • marketObjectCode
  • marketValueObserved
  • nonPerformingDate
  • seniority
  • settlementCurrency

Notes​

  • contractType is automatically set to "CAPFL" when using the class.