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I have to figure out the cashflow for a floorlet option written on 1 month Libor under Vasicek model by considering yield curve power series expression and bond pricing equation:

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Has anyone an idea how to tackle this?

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  • $\begingroup$ the cashflow is your top equation, you probably need to show how to derive it $\endgroup$ – manuel Nov 6 '19 at 20:22

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