Cap/Floor

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Cap & Floor

3 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_IRD_CapFloor_LastResetDate

Returns the last reset date of the reference interest rate.

GIA_IRD_CapFloor_LastResetDate(EfDate, EDate, IndOpPeriod, DR, VDate)

Returns: Last reset date of the reference interest rate

Argument	Use	Description
`EfDate`	Required	The effective date.
`EDate`	Required	The expiry date.
`IndOpPeriod`	Required	The term of Caplets/Floorlets in Cap/Floor option (Annual, SemiAnnual, Quarterly, Monthly)
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`VDate`	Required	The value date.

GIA_IRD_CapFloor_Risk

Returns the risk measures (DV01, Vega, Theta) of a cap/floor option, given flat volatility.

GIA_IRD_CapFloor_Risk(OptionType, Notional, EfDate, EDate, Strike, IndOpPeriod, DaysCF, LR, DR, Vol, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp, RM, [WhichVol])

Returns: Risk measures (DV01, Vega, Theta) of a cap/floor option

Argument	Use	Description
`OptionType`	Required	The option type (Cap, Floor)
`Notional`	Required	The notional amount.
`EfDate`	Required	The effective date.
`EDate`	Required	The expiry date.
`Strike`	Required	The option's strike price.
`IndOpPeriod`	Required	The term of Caplets/Floorlets in Cap/Floor option (Annual, SemiAnnual, Quarterly, Monthly)
`DaysCF`	Required	The time basis in the cash flow calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`LR`	Required	The last reset rate of the reference interest rate in the floating leg of the swap.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`Vol`	Required	The volatility of the underlying asset.
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`RM`	Required	The risk measure type (DV01, Vega, Theta)
`WhichVol`	Optional, default logNormal	The type of volatility (Lognormal, Normal)

GIA_IRD_CapFloor_Value

Returns the value of a cap/floor option, given flat volatility.

GIA_IRD_CapFloor_Value(OptionType, Notional, EfDate, EDate, Strike, IndOpPeriod, DaysCF, LR, DR, Vol, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp, [WhichVol])

Returns: Value of a cap/floor option

Argument	Use	Description
`OptionType`	Required	The option type (Cap, Floor)
`Notional`	Required	The notional amount.
`EfDate`	Required	The effective date.
`EDate`	Required	The expiry date.
`Strike`	Required	The option's strike price.
`IndOpPeriod`	Required	The term of Caplets/Floorlets in Cap/Floor option (Annual, SemiAnnual, Quarterly, Monthly)
`DaysCF`	Required	The time basis in the cash flow calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`LR`	Required	The last reset rate of the reference interest rate in the floating leg of the swap.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`Vol`	Required	The volatility of the underlying asset.
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`WhichVol`	Optional, default logNormal	The type of volatility (Lognormal, Normal)