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Simple question: Can I use a Zero Coupon Curve (using Treasury or Swap Curve) to price floating rates notes (FRN)?

I am building a classic Zero Coupon Curve, however I wonder if I can use it to price FRN even if a Swap Curve was an input to build the Zero Curve.

I would like to read some theoretical and practical opinions.

Thanks,

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The website below shows how to price bonds from curves, currently it only supports fixed rate and zero-coupon bonds, but it might give you an idea how to price a floater using similar concept:

Goto: https://www.opencminc.com

  1. Switch to Yield Curves under the Market Data section

  2. Click on any curve point. For example: click on a rate under 10Y https://www.opencminc.com/how_to.html#price_bond

  3. Calculator window below will be pre-populated with a US Treasury bond priced with a yield from selected curve tenor.

  4. Modify term structure of the bond to see the impact on the NPV

Hope this helps.

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