Question
A two-year floating-rate note pays 6-month Libor plus 100 bps. The floater is priced at 96 per 100 of par value. Current 6-month Libor is
A two-year floating-rate note pays 6-month Libor plus 100 bps. The floater is priced at 96 per 100 of par value. Current 6-month Libor is 1.50%. Assume a 30/360 day-count convention and evenly spaced periods.What is the discount margin for the floater in basis points?
Please Show Work and Explain. Thank You.
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Financial Modeling
Authors: Simon Benninga
2nd Edition
0262024829, 9780262024822
