Fairmat Example

Tags: Collars

An Interest Rate Collar is an instrument created to guarantee that the interest rate on the underlying liabilities rate always lies between a ceiling and a floor. It is a combination of a long position in a cap and a short position in a floor. As for Caps and Floors, we can have two different types of collars:

• A "basic" Interest Rate Collar written on a short-term interbank rate (e.g. EUR Euribor 6 Months).

• An Interest Rate Collar written on a CMS rate or a CMS spread (the differential between two CMS rates).

Attachments

Basic Collar Template Collar CMS Spread Template Basic Collar Documentation Collar CMS Documentation