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Yes. the duration of a floating rate bond is the time t until the next coupon payment, as your equation shows. The payments that come after are not known yet and will be determined based on interest rates then prevailing, so they carry no duration risk. In general floating rate bonds are what people buy when they want the smallest duration possible. Long ...


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The money market yield can be computed directly from the purchase price as $Y_{mm}= \frac{100-P_0}{P_0}\frac{360}{t}$ See for example equation 9.3 here http://www.icmagroup.org/assets/documents/Media/Bondmarketsbook/Bond%20markets_structures%20and%20yield%20calculations.pdf The calculation of the BDY first and then conversion to MMY with your conversion ...


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It's not an assumption; it's a requirement. The base class ZeroYieldStructure requires derived classes to implement a zeroYieldImpl method that returns continuously compounded rates, because that's what it uses in the implementation of discountImpl. I don't remember the discussion at the time we implemented this—it was quite a few years ago—but ...


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MBS are securities which represent ownership in a pool of mortgages ABS are securities which represent ownership in a pool of assets other than mortgages (for example auto loans or credit card loans) Collateralized Debt Obligation are complex entities which issue tranches of securities to investors and use the proceeds to buy MBS, ABS or other assets. The ...


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Let's start with a single bond. The total return from time $t_0$ to time $t_1$ can be easily calculated as follows: $$ R = \frac{\text{ending price} + \text{ending accrued interest} + \text{coupon payments between $t_0$ and $t_1$}}{\text{starting price} + \text{starting accrued interest}} - 1. $$ (This is no different from how you'd calculate the total ...


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Consider the calculation period $[T_1, T_2]$ and the floating coupon rate \begin{align*} L(T_1; T_1, T_2) = \frac{1}{T_2-T_1}\left(\frac{1}{P(T_1, T_2)} -1 \right) \end{align*} set at $T_1$ and paid at $T_2$, where $P(t, u)$ is the price at time $t$ of a zero-coupon bond with maturity $u$ and unit face amount. Let $B_t= \exp\left(\int_0^t r_s ds \right)$ ...



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