Caplet
= Caplet
{title2=$\delta(L(T;T,U)-K)^+$}
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 $(1+\delta K)^{-1}$.