# Tag Info

Accepted

### Can I use spot rates bootstrapped from a swap curve to price a bond?

The general - and short - answer would be no: Except for some hypothetical cases, unless you have a convincing model for the residual spread-over-swap, you cannot use swaps to value your bond. Quick ...
• 6,554
Accepted

### Duration of a floating rate bond with spread

Is formula (1) correct? Yes, follows from first definition - floater with deterministic spread is composed (sum) of two components: (1) pure floater and (2) deterministic coupon strip via contractual ...
• 161

### When are daycounts needed for the floating leg of a swap?

You are reliant on the formula for the rate of the floating period being as stated: $$F_t = \left ( \frac{P(t-1)}{P(t)} - 1 \right ) \frac{1}{\delta_t}$$ and the period DCF $\delta_t$ being equal. ...
• 10.2k
Accepted

### Accrued interest calculation for floaters linked to O/N rates (such as SOFR)

It is possible to calculate with lagged O/N rate, shifted coupon period etc. Yes, the terms I often hear to describe these are "lookback" and "observation shift". Referring to a ...
• 46
Accepted

### Expected Cash flows of a Floating Rate Note

If you are trying to value the FRN, plugging in the forward rates and then discounting is a method that works. If you are trying (as you specifically say) to calculate the expected cash flows, then ...
• 17.1k

### Calculating discountmargin using flat yield

I am a co-author of that paper. You may want to check out FinancePy which is a beta version of a finance library where I have implemented the code for calculating the discount margin. Here is an ...
• 2,147
Accepted

### How does Bloomberg arrive at FRN Total Price?

I may be missing something, but I think you're overcomplicating it. You don't need discount margin and all that jazz. The clean price (entered in upper left corner) is 100.311% The face value (...
• 12.3k
Accepted

### FRN duration when discount curve and projection curve have non-perfect correlation

In that case the duration needs to be carefully defined and interpreted. To first order, the duration is approximately zero, because the simplest assumption is to move the projection curve (5yr ...
• 17.1k

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

Quote [fixed equivalent] yield is determined by assuming the coupon rate on the floater is swapped to a synthetic fixed rate and then solving for the internal rate of return. Endquote link In other ...
• 11.2k
1 vote

### How does the isInArrears affect the quantlib IborLeg?

In QuantLib the following occurs for the floating coupon if isInArrears is true: ...
• 186
1 vote

### How to interpret YTM of FRN when interest rates change?

While this sounds like a basic question, it does bring up a few nuances that are worth discussing. First, suppose you have a fixed-coupon bond, rather than FRN. When risk-free rates go up, the coupons ...
• 12.3k
1 vote

• 1,671
1 vote

### Zero Coupon Curve and Floating Rates Notes pricing

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: ...
1 vote

### Calculating Discount Margin on a floating rate bond using QuantLib

Update (2018-10-09): This solution is more correct. It's a class that solves for the DM using the class ForwardSpreadedTermStructure. ...
• 71

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