 Caplet

One payment period of an interest-rate cap. For $1+\delta K>0$, its value at the reset date is $(1-(1+\delta K)P(T,U){)}^{+}$. Thus the caplet is equivalent before reset to $1+\delta K$ units of a put expiring at $T$ on the maturity-$U$ zero-coupon bond, with strike $(1+\delta K{)}^{-1}$.