C
claire3000006
Member
In chapter 11 for FRAs Rk is the agreed rate for the FRA and Rf is the actual forward rate observed.
In chapter 12 for caplets Rk is the actual observed rate and Rx is the cap rate/strike rate.
Why the confusing notation? Or have I got something the wrong way round?
In chapter 12 for caplets Rk is the actual observed rate and Rx is the cap rate/strike rate.
Why the confusing notation? Or have I got something the wrong way round?