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In HedgeOne, an interest rate periodic cap can be a financial instrument or a component of derivative products. The periodic cap specifies a series of ceiling levels relative to previous coupon rates, above which one party provides the difference of a possibly higher rate and the cap level. The possible rate is multiplied by the notional principal. The periodic cap is a path-dependent instrument. A periodic cap can be input through the single index dialog window. (See the Single Index page.) Copyright© Hedge Systems, Inc. |