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Questions tagged [floating-rate]

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For a Floating Rate note, is there a way to convert the Discount Margin into OAS or Price?

Sorry if this is a very basic or flawed question but I am struggling. I have a known Discount Margin and I am ultimately looking to compute a price from this value as I do not have one. Alternative ...
192 views

Valuing an interest rate swap using a par swaps curve?

I've worked through this problem already and was hoping for some feedback on my approach. The problem description is: You have a notional amount of 100 million paying fixed coupons of 8% annually for ...
147 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....
109 views

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 ...
996 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 ...
275 views

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(...
2k 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, ...
1k views

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

What is fixed-equivalent yield and how is it derived? Thanks!
40 views

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 ...
751 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 ...
50 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 ...
49 views

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, ...
94 views

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). ...
372 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 ...
525 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 ...
583 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 ...
232 views

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 ...
143 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.
2k 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, ...
274 views

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 ...
1k 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 ...
1k 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 (...
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. ...
686 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 ...
163 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?