I am referring to the Example in Schweser B5 p.262. This example illustrates the calculation of a 2-year cap. In the example: 2y cap = 1y caplet + 2y caplet I wonder since caplets pay in arrears, the 2y caplet should expire in 2 years and pay in 3 years, which means the calculation is for a cap with tenor = “3 years”? I would make it clear that the general rule is when you have n year cap with annual payments, you should have (n-1) caplets. (I contra check this in CFAI - V6 p.208) Am I correct?
Any comments?