Here is a example of
Cap option in John Holl's book
Options, Futures and Other Derivatives 9th
One thing I am confused that there are two discounted rate, one is
LIBOR/swap zero curve is flat at 7% and the other is
The continuously compounded zero rate for all maturities is 6.9395%.
Here we use forward price $F_k,$ it seems we should use the
LIBOR as the a discounted rate.