Callable Capped Floater Note

In a note the coupons of the structured (or float) leg are equal to the coupons of the structured leg of the corresponding swap. So to better understand this instrument refer to the Capped Floater Swap .

The note’s bond price is calculated as follows:

Bond price % * face amount

Note that the bond price itself takes into account the fact that you will receive the face amount back by the note’s end date.

Why use a callable capped floater note?

You would enter into a callable note with a cap and/or a floor as a speculative investment with the intention of reaping a enhanced yield.

Pricing a Callable Capped Floater Note in SDX Interest Rates

When pricing this instrument, you can choose whether to define a cap and/or a floorHowever, you do not have to define either a cap or a floor.1.

If you want to price a simple floater note, you can use this instrument and set it to non-callable without a cap or a floor.