A model is developed for pricing a swap with better of cliquet option. The floating amount payer makes semi-annual payments based on USD-LIBOR-BBA minus a spread. The fixed rate payer makes a single payment at swap maturity based on the arithmetic average of the S&P 500 Index price over certain pre-specified windows of ten consecutive trading days.

The commodities swaps are based on crude and refined oil products and these swaps are typically Asian commodity-price swaps. A typical deal where one party pays fixed and receives floating is specified as follows:

A rainbow partial barrier option is an option on two assets where one asset-the trigger asset-knocks in an European call or put on a second asset; such an option is therefore European. (Unless specified otherwise, all options are European style.) The adjective partial refers to the fact that the knock in or out period is shorter than the option tenor.

A European shout floor is similar to a shout cap. The shout floor is an option giving the holder the right to “shout” a European put strike level at spot at any time during the option tenor. That is, the holder receives an at-the-money European put when they shout. If they do not shout at any time during the option tenor the holder receives a European put struck at the initial strike level. This instrument provides a protective floor on losses in long positions without requiring additional payments