Options, Futures, and Other Derivatives, Ninth Edition

C

• Calendar days vs. trading days, 328–329

• Calendar spread, 265–266, 820

• Calibrating instruments, 732

• Calibration, 732–734, 751–752, 820

• Call option, 8, 213–214, 820

• Callable bond, 673–674, 820

• Cancelable compounding swaps, 770–771

• Cancelable forward, 599

• Cancelable swap, 770, 820

• Cap rate, 678, 821

• Cap,

  • flexi cap, 748, 826

  • interest rate, 678–684, 821. See also Interest rate caps and floors.

  • ratchet cap, 747–748, 833

  • sticky cap, 747–748, 834

• Capital asset pricing model (CAPM), 64–67, 75–76, 125, 660, 821

  • relation to capital investment appraisal, 793

  • relation to market price of risk, 660, 795–796

• Capital investment appraisal, 792–793

  • NPV vs. real options approach, 793

• Caplet, 679, 821. See also Cap.

• Case-Shiller index, 189, 821

• Cash CDO, ...