Question
A floating rate note pays interest every quarter. The coupon rate is the 3-month LIBOR. The next coupon payment is one month from today. The
A floating rate note pays interest every quarter. The coupon rate is the 3-month LIBOR. The next coupon payment is one month from today. The par value is $1,000,000. You have been asked to value this security today and have been provided with the following information on the recent history of LIBOR for various terms.
| Date | 1 month LIBOR | 2 month LIBOR | 3 month LIBOR |
| (% pa) | (% pa) | (%pa) | |
| Today | 1.001 | 1.073 | 1.203 |
| one month ago | 1.026 | 1.034 | 1.055 |
| two months ago | 1.003 | 1.163 | 1.275 |
| three months ago | 1.043 | 1.110 | 1.285 |
| four months ago | 1.032 | 1.183 | 1.251 |
| five months ago | 1.026 | 1.049 | 1.229 |
Rounded to the nearest whole dollar, what is the value of the security today?
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Wealth Habits Six Ordinary Steps To Achieve Extraordinary Financial Freedom
Authors: Candy Valentino
1st Edition
1394152299, 978-1394152292
