A target swap or note is a special accrued (range)
swap or note. Target swaps are also known as “range you choose” swaps.
At each coupon reset date, the counterparty chooses a central rate. The range for
the period is a symmetric band about the central rate. If the index rate is within
the range, the interest is accrued as Leverage * Index
+ Spread. If the index rate is outside the range,
interest is accrued as OutCoupon. Interest is accrued
daily.
The following is a sample dialog window for a target swap.
