Questions tagged [floating-rate]

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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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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 ...
2
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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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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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146 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....
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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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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, ...
0
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2answers
74 views

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 ...