All Questions
13
questions
2
votes
0
answers
308
views
Accrued interest on RFR Floating Rate Note
On fixed rate bonds and IBOR based floating rate notes the next cashflow is known definitively in advance, therefore the accrued interest for a given settlement date is a trivial calculation typically ...
- 11k
2
votes
2
answers
362
views
How to calculate the yield of a perpetual bond that pays a floating coupon payment?
I know that perpetual bonds are becoming a rare phenomenon and that ones that pay a variable coupon are even rarer. However, I believe that there are such bonds out there, and I'm hoping that someone ...
- 403
0
votes
1
answer
230
views
How do I calculate yield and trading margin of an Australian Dollar floating rate note?
I am trying to calculate the yield and trading margin on an AUD FRN in a robust manner. I am hoping someone can help with a few details.
I am forecasting cash flows and solving for the discount rate ...
- 21
0
votes
0
answers
726
views
Why is an FRN price equal to par on every reset date?
In the book "The money markets handbook" by Moorad Choudhry, it says that "on the coupon reset date an FRN will be priced precisely at par".
Why is this? Would it not discount the ...
- 59
0
votes
0
answers
92
views
How is Inverse Super Floater built?
I am pretty new to fixed income and came across to a product called Inverse Super Floater.
I am wondering, what are the components of this product assuming issue price of 100 (redemption amount of 100 ...
- 1
1
vote
2
answers
281
views
Is this simple model used to calculate the interest rate duration and credit duration of a floating rate note? Other models?
I found this model for floating rate bonds in a book I am reading and I am wondering if it is used anywhere in practice?
$$MV=\frac{\frac{(Index+QM)\cdot FV}{PER}}{\left(1+\frac{Index+DM}{PER}\right)^...
- 125
0
votes
2
answers
426
views
Calculating discountmargin using flat yield
How do you calculate the discount margin of a floating rate bond using flat yield? What is the formula?
- 3
0
votes
1
answer
568
views
How does the yield of a floater change when the discount/required margin changes?
On this site: https://ebrary.net/14293/economics/actual_floater,
it says that the yield of a floater is deteremined like this:
That yield is determined by assuming the coupon rate on the floater is
...
- 3
2
votes
1
answer
3k
views
Duration of a floating rate bond with spread
I need to calculate the duration of a floating rate bond with spread. With zero spread the price of the bond is given by:
$$p_\tau=(1+c_1)e^{-r(\tau_1) \cdot \tau_1}$$ so the duration is:
$$-\frac{\...
- 131
0
votes
1
answer
317
views
Valuing a floating-rate bond [duplicate]
Suppose we have a floating-rate bond with arbitrary face value.
I am given to understand that the value of such a bond is the face value, at the time it is issued and also after each coupon payment.
...
- 151
0
votes
1
answer
339
views
Discount margin on FRN - widening but bond price increasing?
Why would a bonds discount margin widen but its price increase? Shouldn't the price be falling when margins are widening?
Looking at the bond pricing formula, if the price is higher doesn't the rate ...
- 81
1
vote
0
answers
386
views
Duration of a FRN in continuous time interest rate model
This question was inspired by my attempt to understand the duration of a floating rate note, or FRN for short. Several answers, like this, say the duration of a FRN is just time to next coupon payment....
- 903
7
votes
1
answer
973
views
Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function
Consider the RQuantLib package function FloatingRateBond().
This takes as inputs gearings ...
- 2,133