Caps, Floors, Collars
Caps, floors, and collars are constructed as options on three levels.
In level 1 you define an elementary transaction with TFORM 050 (cap/floor/collar). At the level below that, the actual caplets and/or floorlets are set up. These are OTC options on interest rate references according to the classical definition of an option on an underlying transaction. On this level you need to create the relevant number of OTC options (TFORM 061).
Note
You can only distinguish between caplets and floorlets based on the
put/call indicator.
End of the note.
On level 3, an elementary transaction is defined as an underlying for each corresponding option on level 2 (TFORM 049 caplet/floor as underlying).