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Caplets as zero-bond puts To simplify things, consider each caplet by itself, the value of the cap would be in that case the sum of the caplets' values. So, let's take a single caplet on nominal $N$ and with strike $K$, Libor tenor $\delta$, expiry $T$ and payment date $T +\delta$. If your pricing date is beyond the expiry but before the payment date: $T &...

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