Questions tagged [floating-rate]
The floating-rate tag has no usage guidance.
61
questions
0
votes
0
answers
159
views
Pricing a floating rate callable bond with rate scenarios, please help!
I need to price a floating rate callable bond in Excel. I am new to this and struggling to find good information on this specific situation.
I have several rate scenarios until maturity, i.e. the ...
- 1
0
votes
0
answers
88
views
Pricing a (general) callable floating rate note
I have a question generalizing this situation: Pricing Callable Floating Rate Note.
I want to price a callable floating rate note, where the coupon can also be capped and the reference index can be ...
- 1
0
votes
1
answer
111
views
When are daycounts needed for the floating leg of a swap?
For the fixed leg, the daycount is needed since the PV is $\sum_t N\delta_{t}r DF_t$ where $\delta_t$ is the daycount accrual factor at time $t$.
However for the floating leg it looks like $\sum_t N \...
- 141
0
votes
1
answer
71
views
0
votes
1
answer
56
views
FRN duration when discount curve and projection curve have non-perfect correlation
The textbook example assumes that discount curve and projection curve are the same (or have a perfect correlation). What happens with the FRN's duration when it is not the case?
For example, there are ...
- 17
0
votes
0
answers
51
views
How to express the price of an FRN using its duration and interest rate difference?
Where:
$P_F$: Current value of the floating rate bond
$D$ : Duration of the floating rate bond
$R_F$: Interest rate of the floating rate bond
$R_I$: Interest rate of the fixed-rate bond
$P_I$: Value ...
- 11
1
vote
0
answers
230
views
Bloomberg SWPM: Floating Leg cash flow [duplicate]
I am trying to replicate mechanism behind SWPM function of Bloomberg.
As you can see from the screenshot from my excel file, I am able to find exact cash flows from excel file (it not discounted), ...
1
vote
0
answers
177
views
LIBOR rate used for computing discount margin
A formula for computing the discount margin of a floater is provided in an image displayed in this answer as well as below. The image below comes from page 14 of the paper "Credit Spreads ...
- 111
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
0
answers
272
views
Quantlib Floating Rate Cashflow
I am struggling to reconcile the cashflow of a floating rate bond. I created a reference index of 5% flat, then a bond that pays quarterly coupon with Actual/360. For example, I'd expect the coupon on ...
- 21
0
votes
1
answer
137
views
Roll down for floating rate notes
is it correct to say that floating rate notes (FRNs) have no roll-down for a time horizon as it is interest risk free?
- 734
1
vote
0
answers
334
views
Does Quantlib FloatingRateBond support SOFR index?
I am trying to use Quantlib to price FloatingRateBond, Thanks to some other posts on the stack I managed to do it for Ibor indexes. I tried to use the SOFR, but I didn't succeed, I couldn't get around ...
- 53
3
votes
1
answer
243
views
How to interpret YTM of FRN when interest rates change?
Say I have a FRN.
If rates go up, then my cashflows are discounted more, but my coupons also go up, so in the end, my bond may be worth the same.
However, if rates go up, then since my price is ...
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
674
views
falling flatforward curve in quantlib
I am trying to create a floating rate bond where I need to create a flatforward curve, but the curve seems falling over the time, or is there any way to keep the rate constant.
...
- 49