The Cap Term Structure page displays the term structure for cap/floor-based s. This includes caps, floors, digitals and accruals.
The term structure includes the following market rates:
Forward Rate
This is the interest rate starting on a specific date in the future until the expiry date.
For a cap/floor this is the average forward rate of all the underlying caplets/floorlets (but weighted using the relevant discount factors). For a caplet/floorlet this is the same as the implied rate displayed for that individual caplet/floorlet in the Cash Flow Dates window.
It is derived from the Yield Curve page.
ATM Vol %
This is the volatility of the forward rate displayed as a percentage.
Straddle ATM Price %
This is the price of a cap/floor ATMF strike straddle strategy.
As such it is affected by the ATMF volatility.
Strangle Price %
This is the price of a 100 basis points spread strangle. That is, it is the equivalent of buying a cap with an ATMF of +50 and buying a floor with an ATMF of -50.
Collar Price %
This is the price of a 100 basis points spread collar. That is, it is the equivalent of buying a cap with an ATMF of +50 and selling a floor with an ATMF of -50.
The data is displayed for both of the following:
Cap/floor expiries
The data displayed for each expiry is the average of that rate for all the underlying caplets/floorlets.
It is important to note that for each expiry displayed, the system sets the start date of the corresponding cap/floor’s first coupon to be the spot date (i.e., the trade date) + the index frequency. So if the selected index frequency is 6m, the start date will be the spot date + 6m.
Caplet/floorlet expiries
The data displayed here is for an individual caplet/floorlet. So if the selected index frequency is 3m, for the 1m expiry, the caplet starts in 1m and ends in 4m; for the 3m expiry, the caplet starts in 3m and ends in 6m, for the 3y expiry the caplet starts in 3y and ends in 3y3m, etc.
The Cap Term Structure page is accessed:
By clicking the Forward Rates tab > Caps/Floors tab on the left-hand menu.
From the Trader or Market Data tabs > Forward Rates button > Caps/Floors.
From the Open button > Forward Rates > Caps/Floors.
The following topics are covered:
Fields & Buttons in the Cap Term Structure Page.
What Can be Done in the Cap Term Structure Page? .
Customizing the Market Data in the Swaptions Forward Rates Page & the Cap Term Structure Page .