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verified publisher icon attack68

ENH: Flooring FRN coupon periods at zero under negative rates.

Open attack68 opened this issue 2 years ago • 1 comments

Facilities to transfer coupon payments from the investor to the issuer do not practically exist, thus the requirement to add as an option (default) the flooring of FRN coupons at zero is suggested.

attack68 avatar May 08 '23 11:05 attack68

Possibly wait on this until swaptions are implemented because the pricing is interlined with floors/caps

attack68 avatar Sep 06 '23 08:09 attack68