In HedgeOne, a single index can be a financial instrument or a component of derivative products. A single index is an abstract instrument which includes the following instruments as special cases:
cap
floor
periodic cap
periodic floor
step cap
step floor
The dialog window below shows an example of a floor. From Beginning Date to Ending Date, one party receives or pays a rate of Index (LIBOR, in this case) of Term (6 months) multiplied by the Leverage, plus the Spread. The rates are constrained by the Lower Bound (there is no upper bound in this example). The rates are reset every six months (Reset) before the payment date. The total payment in a period is the Notional Amount multiplied by the rates and divided by the Frequency.
