IR Caplet Placeholder for future LIBOR fixing arrange { actions { (acmeCorp or highStreetBank).may { "exercise".anytime { val floating = interest(notional, "act/365", fix("LIBOR", "2016-04-01", Tenor("6M")), "2016-04-01", "2016-10-01") val fixed = interest(notional, "act/365", 0.5, "2016-04-01", "2016-10-01") Calculation of interest on notional highStreetBank.owes(acmeCorp, floating - fixed, GBP) } } } } Note that debt obligation must be of positive amount. Hence exercise is only valid if floating leg is larger than fixed leg. UNRESTRICTED 94