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ENH: Flooring FRN coupon periods at zero under negative rates. #5

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attack68 opened this issue May 8, 2023 · 1 comment
Open

ENH: Flooring FRN coupon periods at zero under negative rates. #5

attack68 opened this issue May 8, 2023 · 1 comment
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enhancement New feature or request on hold securities

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attack68 commented May 8, 2023

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 attack68 added enhancement New feature or request securities labels May 8, 2023
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attack68 commented Sep 6, 2023

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

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enhancement New feature or request on hold securities
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