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Questions tagged [floating-rate]

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Simple Portfolio Amortization Forecasting

I have a large residential mortgage portfolio that has fixed and arm mortgages. I want to roughly calculate the 3 year amortization of the arm portfolio by month without delving into loan by loan ...
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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....
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Zero Coupon Curve and Floating Rates Notes pricing

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 ...
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464 views

Calculating Discount Margin on a floating rate bond using QuantLib

Going off Luigi's hint on this answer: Setting up Schedule for an amortizing floater in QuantLib I was able to cobble something together but I'm unable to verify if it's correct. TLDR: I was able to ...
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Bond payment day determination on Floating Rate Bonds

If a commercial paper or CD is issued and matures on different days of the months (issued Nov 15 2016, Matures Dec 5 2017), and pays quarterly. What is the general convention to decide coupon dates? ...
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Is it possible to use an Excel function to price a U.S. Treasury Floating Rate Note (FRN)?

I'm trying to price the following floating rate note: The price displayed on Bloomberg is 100.103063. If I pass the following to the PRICE() function in Bloomberg, I get 100.1019629. =PRICE(...
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883 views

How to Calculate Accrued Interest on a Floating Rate Note

I'm trying to manually calculate the accrued interest of a U.S. Treasury floating rate note (FRN). I believe the formula is: (# of days / 360) x 1,000,000 x coupon If this formula is correct, ...
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1answer
590 views

How is Bloomberg's fixed-equivalent yield on a floater calculated?

What is fixed-equivalent yield and how is it derived? Thanks!
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Model for target zone exchange rates

I just found a stochastic model for target zone exchange rates $x_{t+1}=x_t+k+r(x_t-y)+ \tilde{\epsilon}$ where k is a drift term so equal $r-r_f$ r is lean againt the wind coefficient that ...
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1answer
490 views

Expected Cash flows of a Floating Rate Note

How would one calculate the expected cash flows of a floating rate note? Given a yield curve corresponding to the underlying of a floating rate note, would it be sufficient to compute the forward ...
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1answer
47 views

book of options hedging case of floating rate

i'm an intern in bank at Morocco that sells vanilla options on EUR/USD , EUR/MAD , USD/MAD , it s using delta hedging strategy to cover they're position . But because of the switch to floating ...
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Distribution of loans by types of interest

Im looking for some kind of report that would inculde data on the distribution of corporate loans by types of interest(fixed/floating), specifically global not just for one country(developed, ...
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Monte Carlo approach to RAN bonds in Quantlib or suggestions

This is a problem from Schlogl's book in the chapter on the HJM model: Price option of the RAN instrument with 3 month coupons and maturity 3 years using Monte Carlo(Exercise 4 Range Accrual Note). ...
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2answers
335 views

Pricing a Vanilla swap between coupons; What rates to use?

Vanilla Swap question. Entered into a 5Y fixed for floating HUF swap. Fixed is annual coupons, Float is semi-annual coupons. 1 month later I want to price it. I set up my future values for Fixed ...
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1answer
394 views

Do FRN's *always* trade on par on reset days, regardless if the issuer's credit quality has changed?

I keep reading that floating rate notes trade on par on coupon reset days. Is this always true, regardless of changes in the issuer's credit quality since the FRN was issued? It seems probably ...
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1answer
401 views

What is the yield when a floating-rate note is issued above/below par?

I am new in this area so all help is much appreciated! Let's say a 3-year floating rate note pays a coupon of LIBOR+100 bps, and is issued at a premium with price = 100.5. I understand that this ...
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Model a floating rate BBB yield curve

Background: We want to design a compensated prepayment liability index to define an amount a bond buyer would need to receive in a redemption prior to the nominal maturity of a bond. Ideally we'd ...
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1answer
120 views

Floating-rate bond

How can I extract expectations about future rates from prices of floating-rate bonds? Please, give reference to any articles, if possible. Thank you in advance.
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1answer
1k views

Pricing Callable Floating Rate Note

I have a question concerning pricing of a callable floating rate note (FRN). I have not found a lot of literature concerning callable FRNs (although a lot for callable bonds). With my understanding, ...
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Pricing a bond with variable strike collar with QuantLibXL

I am trying to price a floating rate bond with a capped and floored interest rate. The strikes of the caps and floors vary, but are known in advance. I am trying to do this with QuantLibXL, but I am ...
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1answer
897 views

Pricing Fixed-To-Floater bond in QuantLib

Wandering through QuantLib's Financial instruments documentation, I noticed no class for fixed-to-floater bonds exist. Then I was wondering what a suitable way to price such an instrument would be ...
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1answer
923 views

Automatic fixing of missing floating rate in QuantLib's addFixing()

Due to the periodic fixing of floating rate bonds's coupon rates, in order to calculate the bond clean price one must tell the pricing engine to account for previous LIBOR rate fixing. If I am right (...
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1answer
1k views

How to price a bond at specified dates in QuantLib

I am wondering what's the most efficient way (i.e. the method which involves the fewest arguments) to price a bond at a specified date, e.g. a future date (as instance, 6 months from now) in QuantLib. ...
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611 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 ...
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2answers
160 views

Derivatives with a floating Libor leg

If Libor is found to be fraudulently fixed, are any of the derivative contracts with a floating libor leg still valid?
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318 views

Where to find introductory material on leveraged loans?

What are some good, preferably free, introductions to leveraged loans, also known as syndicated loans or bank loans? The introduction should describe the basic mechanics and very importantly provide ...
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281 views

Value of option-free instruments with a short-rate model vs the spot curve

You can calculate the value of an option free bond or swap by using the spot curve and discounting cashflows accordingly. Alternatively, apparently you can use a single-factor short rate model in a ...