How to find the Value (and Duration) of a Floating Rate Note?
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4 سال پیش
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In this short video, we
In this short video, we derive the value of a Floating Rate Note (FRN) – both on a coupon / reset date as well as at any point in time between two coupon dates. Through very simple steps, we prove the rule of thumb that on a coupon date, the ex-coupon value of the FRN equals its face (par) value, provided the reference rate of the FRN is the same as the discount rate. Based on the value of the FRN, we work out the duration of the FRN.
4 سال پیش
در تاریخ 1399/01/19 منتشر شده
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